Cannot Store Greek Characters in NVARCHAR2 columns

Can someone please help.
I have a table TEST with one column A of type NVARCHAR2(20) and when I try to insert the greek character Ω(Omega) - it gets stored as O instead.
I am inserting using SQL Developer using the 'N' prefix and my environment is as follows:
Oracle Database 11g Enterprise Edition Release 11.2.0.1.0 - 64bit Production
NLS_CHARACTERSET = WE8MSWIN1252
NLS_NCHAR_CHARACTERSET = AL16UTF16
NLS_LANG setting on client side is ENGLISH_UNITED KINGDOM.WE8MSWIN1252.
Why can I not insert greek characters with the above setup and what do I need to do/change in order to be able to insert greek characters in a database using the national characterset for storing unicode data ?

Result of running SELECT a, dump(a) FROM TEST after insert an 'O' and an 'Ω' is as follows:
A DUMP(A)
O     Typ=1 Len=2: 0,79
O     Typ=1 Len=2: 0,79
I added a VARCHAR column, column B, there is no difference in what is getting stored in the NVARCHAR column when inserting 'Ω', result is below:
INSERT INTO TEST (A, B)
VALUES(N'Ω', 'Ω');
SELECT a, dump(a, 1016), b, dump(b, 1016) FROM TEST;
A DUMP(A, 1016) B DUMP(B, 1016)
O     Typ=1 Len=2 CharacterSet=AL16UTF16: 0,4f     O     Typ=1 Len=1 CharacterSet=WE8MSWIN1252: 4f
I'm I missing something here, since my understanding is that NVARCHAR2 columns should be able to store Unicode data ?

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