The Unicode specification for subscripts does not support all a-z characters (see Unicode Superscripts and Subscripts). In addition, for most of those subscript characters in the specification, you will need to choose a "full-featured" Unicode font, i.e. a font that has most of the Unicode glyphs. Otherwise, the character will render as a box. A good sans-serif font to use is "Arial Unicode MS". Let me know if that works okay for you.
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