Unfortunately, it Encoding.Unicodedid not work, using it Windows-1252worked:
Response.Clear();
Response.ContentType = "Application/x-msexcel";
Response.AddHeader("content-disposition", "attachment; filename=\"filename.csv\"");
Response.ContentEncoding = System.Text.Encoding.GetEncoding("Windows-1252");
Response.Write(string.Join(Environment.NewLine, myDataLines));
Response.End();
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