Could I somehow be implying the declaration you speak of?  The
invocation of saxon is this:

saxon manual.xml gretlhlp.xsl "tex.math.in.alt=latex"

This looks as if you are using Instant Saxon, and therefore the Microsoft
JVM.

The encodings available on output are the intersection of:

ascii, us-ascii, utf-8, utf8, utf-16, utf16, iso-8859-1, iso-8859-2
ko18-r, cp852, cp1250, windows-1250, cp1251, windows-1251
(again case-insensitive)

with whatever your Java VM supports.