How could I create the sort order of the index with combined English and Cyrillic index entries

Have you already tried anything that didn't work?

My experience with IX sort order is limited to locating the symbols and numerics relative to the romans, but it appears that all you need to do is ...

Edit the GroupTitlesIX paragraph on Reference Page IX of the YourDocNameIX.fm file. Put the cyrillic leading characters after the roman leading characters.

In the generated index document, select View > Reference Pages, and go to the reference page named "IX".
On this page, you'll find an ordered list of index group titles, which looks e.g. like this:

Symbols[\ ];Numerics[0];A;B;C;D;E;F;G;H;I;J;K;L;M;N;O;P;Q;R;S;T;U;V;W;X;Y;Z

Append the additional cyrillic characters to the paragraph in the same fashion as the existing entries.

The new titles should appear when updating the index.

Johannes