El titulo lo dice todo, por defecto se crean en ANSI, haciendo lo siguiente se crearan en UTF-8 pero solo desde el menú contextual ya que desde el bloc de notas sera necesario cambiar la codificación a mano en el momento de guardar.

1. Right click on Desktop, then choose New > Text Document
2. A text file New Text Document.txt is created. Don’t type anything and open it.
3. Go to File > Save As… and choose UTF-8 under Encoding:, press Save and overwrite the existing file. Close the file.
4. Rename New Text Document.txt to TXTUTF-8.txt
5. Copy "TXTUTF-8.txt" to C:\WINDOWS\SHELLNEW
6. Go to Start > Run... and type regedit and press ok
7. Navigate to HKEY_CLASSES_ROOT\.txt\ShellNew
8. Right click in the right window > New > String Value and rename it to FileName
9. Double click on FileName and put TXTUTF-8.txt into Value data: field and press ok

Fuente: https://superuser.com/questions/557023/changing-the-default-ansi-to-utf-8-in-notepad
Probado en Windows 10