Adding Greek letter on annotated lines

Hey, I am trying to plot an annotated line whose annotation would contain Greek letter. I am using GMT 6.0.0 on MacOS Catalina. My code is:
gmt psxy -R200/2000/0.00000001/0.1 -Jx0.0035i/0.6il -Bxa200f100g200+l"Distance (km)" -Bya1p+l"G coefficient"
-BnSWe -W2p,cyan g_lg_gamma_0.5.txt -Sqn1:+f10p,Helvetica-Italic+l"@~p@~=0.5"+ap+v -K >$ps

And the plot I am getting is

So it seems Greek letters can’t be recognized in this scenario? Here I am using pi as an example, but I have also tried other Greek letters, and using the Octal codes as well, but none would work. I am wondering if I am doing something wrong or is this a bug?

Thanks for helping!