Well, the problem seems to be already solved!
Yii Framework and PDO itself IS SUPPORTING different charsets when connecting to Oracle database.
The problem seems to be in Oracle driver itself. If one make any mistake in DSN (connectionString), driver does not return any error message only tries to connect to local, default database. If success, user may assume that connection was estabilished and parameters were ignored.
In my situation DSN was:
Notice two slash before hostname. Correct DSN format is:
Even both PHP (+Yii) and Oracle was setup on the same machine, I used host-related addressing to be able to move developed application to any other computer for tests. This way I assumed that connection is estabilished, only either Oracle, PDF or Yii ignores charset definition. The truth is that an error in DSN cause Oracle driver to connect to local, default database which in this situation was the same DB. Since whole DSN was ignored (as having errors) charset was also wrong. I noticed this when moved webapp to a different computer for tests only to find out somehow strange error "username or password incorrect".
After a short investigation I realised that driver was connecting to local DB not the one specified. When I corrected mistake in DSN both host and charset were correctly recognised and I finally got my data with right encoding.