Use CONNECT or CREATE DATABASE to specify a database
SQL> connect debug user SYSDBA password masterkey;
Database:  debug, User: SYSDBA
SQL> select RDB$COLLATION_NAME,
CON>        RDB$COLLATION_ATTRIBUTES
CON>   from RDB$COLLATIONS
CON>  where RDB$COLLATION_NAME in ( 'UNICODE_CI_AI', 'PXW_CYRL_CI_AI' );

RDB$COLLATION_NAME     RDB$COLLATION_ATTRIBUTES
=====================  ========================
UNICODE_CI_AI                                 7
PXW_CYRL_CI_AI                                7

SQL>

create collation PXW_CYRL_CI for WIN1251
  from PXW_CYRL
  case insensitive;

create collation PXW_CYRL_CI_AI for WIN1251
  from PXW_CYRL
  case insensitive
accent insensitive;

create table T (
    CI     varchar(10) collate PXW_CYRL_CI,
    CI_AI  varchar(10) collate PXW_CYRL_CI_AI
);

insert into T (
    CI,
    CI_AI )
values (
    'zZяЯёЁ',
    'zZяЯёЁ' );
commit;

select count(*)  -- возвращает 0
  from T
 where CI = 'ZZЯЯЁЁ';

select count(*)  -- возвращает 1
  from T
 where CI_AI = 'ZZЯЯЁЁ';