You can find calligraphic script under the Palettes' Special Characters menu. E.g.
Plot[Sin[x], {x, 0, 6 Pi}, AxesLabel -> {\[ScriptCapitalT], None}]
Or, if you specifically want the LaTeX Mathcal font - apparently cmbsy10 - you can download and install it, and specify it in the Style option:-
Plot[Sin[x], {x, 0, 6 Pi}, AxesLabel -> {Style["T", FontFamily -> "cmbsy10"], None}]