How to show the º character in a LCD?

It depends on the exact model of LCD you are using. Or more exactly, on the Dot Matrix Liquid Crystal Display Controller/Driver, like the Hitachi HD44780U that is used in many 16x2 LCD.

For that driver, you have a table of native chars, like this:

In this table, the char "°" is at col 0b1101, row 1111, (0xDF, or 223). But, you have to cast that value to a char before displaying, otherwise you will get the value (223), not the symbol.

#include <Wire.h> 
#include <LiquidCrystal_I2C.h>

LiquidCrystal_I2C lcd(0x3F,16,2);  // set the LCD address to 0x27 for a 16 chars and 2 line display

void setup()
{
  lcd.init();                      // initialize the lcd 
  lcd.backlight();
  lcd.print("temp 27");
  lcd.print((char) 223);
  lcd.print(" ");
  lcd.print(223);

}

void loop()
{
}

Some displays have different characters above 128. It is best to make your own character.

That is what @dannyf ment with "CGRAM". The custom characters are stored in CGRAM. There is no need to read the datasheet though, because there is a function in the Arduino LiquidCrystal library for it.

Start here: Arduino CreateChar reference
There are even websites that help you to create the character: omerk and maxpromer.