Solution 1:

Actually a colleague just asked me and I found a work-around - use

env var.with.dots=value command

Solution 2:

The dot is not a valid character in a shell identifier.
So the answer is "you cannot do what you ask":

   name   A word consisting only of  alphanumeric  characters  and  under-
          scores,  and beginning with an alphabetic character or an under-
          score.  Also referred to as an identifier.