Is there any way to validate UTF-8 in regex?

This might need some refinement, but my understanding is \p{L} will match "a single code point in the category 'letter'". Try this:

String FirstName = 'Fredé';

Pattern regexPattern = Pattern.compile('^[\\p{L}\\. \'-]+$');
Matcher regexMatcher = regexPattern.matcher(FirstName);

if (!regexMatcher.matches()) {
System.debug(LoggingLevel.Warn, 'No Matches');
} else {
System.debug(LoggingLevel.Debug, 'Matches');
}

According to the Regex Tutorial: Unicode Character Properties you will probably need to add \p{M}*to optionally match any diacritics:

Hi,

Yes you can do it through regex.

Hope this helps.