First, please update to the latest version of NGUI. Second, please provide more information -- such as how you create the font. Using NGUI's Font Maker you can specify a custom set of characters to include. As long as the font actually has the glyphs, it will work. If it doesn't, it won't.
Note that Unity automatically falls back to built-in Arial font if the font you are trying to use doesn't support the characters. Try finding a font that actually has Cyrillic, and it'll work as expected.
Attached one will work, for example.