Hi cnavnath
This is possible. You need a font which contains hindi glyphs. U8glib can use the glyphs from unifont (http://unifoundry.com/unifont.html). The font u8g_font_unifont_18_19 (Google Code Archive - Long-term storage for Google Code Project Hosting.) already contains some Sanskrit glyphs from unicode page 09xx.
You just provide this hindi font to u8glib with the setFont command:
u8g.setFont(u8g_font_unifont_18_19);
After this, you can use u8g.DrawStr(x,y, "abc") to draw the Sanskrit glyphs.
If you need glyphs from another uncode page, you may use bdf2u8g (Google Code Archive - Long-term storage for Google Code Project Hosting.) to construct your own selecton of glyps.
You can also tell me which glyphs you need from unifont and I can construct one or more fonts for you.
Oliver
Edit: Fontname