I am almost positive it won't let you name it Big Gay Al... probably because of the word 'gay' or possibly because it's a name from pop-culture. Even if you can't use spaces, you can still leave the words capitalized.
You should also try googling "window alt codes", which will take you to a list of letters/symbols you might want to try. I don't think it's illegal to have letters like that on pet names, just don't use it for character names.