Program.cs

static void Main(string[] args)
{
    var url = "http://example.jp/xml";
    var client = new WebClient() { Encoding = Encoding.UTF8 };
    var xml = client.DownloadString(url);
    var d = XDocument.Parse(Sanitize(xml));
}

private static string Sanitize(string xml)
{
    var sb = new System.Text.StringBuilder();

    foreach (var c in xml)
    {
        var code = (int)c;

        if (code == 0x9 ||
            code == 0xa ||
            code == 0xd ||
            (0x20 <= code && code <= 0xd7ff) ||
            (0xe000 <= code && code <= 0xfffd) ||
            (0x10000 <= code && code <= 0x10ffff))
        {
            sb.Append(c);
        }
    }

    return sb.ToString();
}