There are some examples of English films that have unnamed main characters.
When mentioning the character we normally refer to them as their job or title such as
The Driver
The Teacher
The Cop
Or simply by their function in the story:
The Hero
The Protagonist
The Villain
You can use those to refer to an unnamed character without needing to explain that they are unnamed.
However, if you choose to use "Anonymous" or "Unnamed" or "Nameless", then you should explain why. It is not automatically understood as a pronoun for the main character the way you explain it is in Chinese.
As you mentioned, these are used for mysterious and unknown or unidentified characters, but I don't think these are what you are looking for:
Mr./Mrs. X
Mr./Mrs. Smith
John/Jane Doe
Mystery Man/Woman
We simply don't have a word for "未名湖"- "The Unnamed Lake" that is widely used and understood the way it is in Chinese. Perhaps it should be added to one of the many lists of words without English equivalent. It sounds like a useful word.