How to make use the first letter of pinyin to search in the filter?

Something like:

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I don't know how to do that - I'll submit this thread to the forum.

I think you need to get the Table of General Standard Chinese Characters and their pinyin equivalents (with accents removed) and then abbreviate those to a abbreviations you want and then you can filter do some fairly straightforward lookups and filters and other stuff people here know about based on that result maybe with the actual Chinese concatenated on the end if that helps.

But I have no idea where to get that starting information from in an easy to use format....

Personally. I'd recommend adding multi-level slicer controls. Instead of using custom pinyin filter lookup table.

While this is much easier using PowerQuery & PowerPivot, same principle can be applied without it.

Create grouping based on first character of the word. Lets call it slicer lvl1.
Then you can further apply grouping based on number of characters used etc.

These would be added as extra columns in data model (or to source table). You click on few buttons to narrow down your search. No need to type and more robust than usual lookup table method when filtering data.

I often use this construct on dashboards (Ex. Brand - Region/Country - Market - City, 4 level grouping to analyze trend).