>> > Ideally, we should only add those which can be displayed.  The
>> > function char-displayable-p should be able to tell.  Would it be
>> > possible to change the code such that only the symbols that pass that
>> > test are added?
>> 
>> (...)
>
> For a GUI frame, if char-displayable-p returns a symbol, the character
> is not displayable.  Characters that can be displayed on a GUI frame
> should cause char-displayable-p to return a string, the name of the
> font suitable for the character.

Thanks.  With the attached patch, prettify-symbols-mode filters
prettify-symbols-alist to those entries that are displayable in the
following sense:

  (let ((display-capability (char-displayable-p char)))
    (if (display-graphic-p)
        (or (eq display-capability t)
            (fontp display-capability))
      display-capability))

I've tested it in tex-mode, with GUI and terminal Emacs, using the
examples from this thread.  Any feedback or other suggestions would be
welcome.