Thanks for the reply. it could be good if you can share some links and documents where all this mentioned step by step. it could be easy for me to develop.
1) you learn what ppp is, what pppd is and you modify it yourself
Nikhil: Please mentioned some link or document regarding above approach.
2) you buy for one dollar more than an ESP8266 an USB WiFi stick.
Nikhil: I have this module and connected it with USB as you mentioned.
iMX sabsesd (yocto linux running) + ESP8266 wrrom02 (connected on /dev/ttymxc2)
I still have doubt is there any possibility so i can enable the support in linux kernel driver after that we can see this interface on linux as wlan0.