can sony xperia u(st25i) 's otg be connected to external power? Can Sony Xperia U be connected to a Y-Cable to provide extra power for OTG to avoid phone battery consumption?

I'm asking this because the phone is already giving power ,will that make a short circuit or it's normal?
You can, but a kernel mod may be required to also keep the host device charging.
However, many devices are already prepared for this, and cables are being manufactured and sold to this specific end, as one can see from this Ebay search, there's already several cables in the market.
To your particular device, the sonic_boom user at this XDA Developers forum thread made a Dock Station to use OTG cable and charging at the same time:

My docking station will work with any 2012 maybe 2011 SONY XPERIA DEVICES with OTG SUPPORT.
I have tested this so far on my XPERIA S and working perfect.


Dock Station
  

Schematics