Sorry, I just realized that because you are embedding Julia, you probably have a wchar_t string in C++ that you want to convert to a Unicode String in Julia at runtime.
Since your std::wstring is a wchar_t* string (UTF-16 on Windows and UTF-32 everywhere else), it a different encoding than the UTF-8 encoding used by the Julia String type, so you need to either convert it (the transcode function in Base can do this) or use the WString type in the LegacyStrings package (to use it in Julia without conversion, e.g. to share memory for large strings).
e.g. suppose you pass the data as a wchar_t *p (or p::Ptr{Cwchar_t} in Julia) and a length L. Then you could call transcode(String, unsafe_wrap(p, L)) to get a Julia String object.