There might be something like difference among commonly used and correct fonts for double letters in some East european fonts. Ill set up table to make comparison.. Letter ;Commonly used latin font typing ; correct latin font ; cyrillic font
nj (n+j); NJ, Nj, nj ; NJ, Nj, nj ; Њ, Њ, њ
lj (l+j); LJ, Lj, lj ; LJ, Lj, lj ; Љ, Љ, љ
dž (d+ž); DŽ, Dž, dž ; DZ, Dz, dz or DŽ, Dž, dž ; Џ, Џ, џ
Try C/P and you'll see the difference, then you might try to see how they behave! .. some tools and programs don't even recognize special (correct) fonts at all! And if you try to use conversion tools latin->cyrillic you'll get results only for l+j, n+j etc.
Maybe in some common use and/or incorrect conversion lies the reason for this font problems!... If this is the case other way of typing might help. Unfortunately not all writings are fully supported by most fonts (In my country we had 6 different writings through ages... and although all of them are in theory supported by Unicode it's impossible to find a font that is functional with all of them at the same time).
One can always try to use some other more or less universal font i.e. "Code 2000", "Code 2001" etc. (I know I had to when I tried to right greek texts with correct accents...)