Hi @superlang
I was able to confirm with the engineering team that Azure Cognitive Search does not support directly Pinyin at this time.
You could consider using Microsoft Translator Text API that supports it and translate the results from Azure Search back and forth (from Chinese to Pinyin and the other way around) as needed:
Translator Text API - Microsoft Translator for Business
Hope that helps.
Please let us know if you have further questions.
Best,
Grace