Social media has evolved into a platform for the dissemination of information, including fake news. There is a lot of false information about the current situation of the Coronavirus Disease 2019 (COVID-19) pandemic, such as false information regarding vaccination. In this paper, we focus on sentiment analysis for Malaysian COVID-19-related news on social media such as Twitter. Tweets in Malaysia are often a combination of Malay, English, and Chinese with plenty of short forms, symbols, emojis, and emoticons within the maximum length of a tweet. The contributions of this paper are twofold. Firstly, we built a multilingual COVID-19 Twitter dataset, comprising tweets written from 1 September 2021 to 12 December 2021. In particular, we collected 108,246 tweets, with over 67% in Malay language, 27% in English, 2% in Chinese, and 4% in other languages. We then manually annotated and assigned the sentiment of 11,568 tweets into three-class sentiments (positive, negative, and neutral) to develop a Malay-language sentiment analysis tool. For this purpose, we applied a data compression method using Byte-Pair Encoding (BPE) on the texts and used two deep learning approaches, i.e., the Multilingual Bidirectional Encoder Representation for Transformer (M-BERT) and convolutional neural network (CNN). BPE tokenization is used to encode rare and unknown words into smaller meaningful subwords. With the CNN, we converted the labeled tweets into image files. Our experiments explored different BPE vocabulary sizes with our BPE-Text-to-Image-CNN and BPE-M-BERT models. The results show that the optimal vocabulary size for BPE is 12,000; any values beyond that would not contribute much to the F1-score. Overall, our results show that BPE-M-BERT slightly outperforms the CNN model, thereby showing that the pre-trained M-BERT network has the advantage for our multilingual dataset.