Me, I don't much care what it does in bash or zsh. Here is what I do:
Third-Mini% sqlite3
SQLite version 3.28.0 2019-04-16 19:49:53
Enter ".help" for usage hints.
Connected to a transient in-memory database.
Use ".open FILENAME" to reopen on a persistent database.
sqlite> select 'à', hex('à');
à|C3A0
sqlite>
The à character created in the usual way with Alt-` followed by a.