Sorry, BSPeter, neither of these work and it's very frustrating.
I tried mkv file with external CP1251 cyrillic subtitles - doesn't work.
I even tried to play mkv file with embedded CP1251 cyrillic subtitles, but in both cases, all I've got was: ????
****
I'm sorry, I mad a mistake when I muxed mkv file with subtitles.
Correctly muxed mkv file with embedded CP1251 cyrillic subtitles actually shows cyrillic subtitles in BS Player. So, my mistake.
Nevertheless, external CP1251 subtitles are still shown as: ?????