Can we model glass-lined piping using CAESAR II, if so, what are the things to look out for ?

I've never run into this before, perhaps someone else has and can offer more.

If I had to do this, I would model the glass lining as "refractory". You do this in CAESAR II by specifying a "negative insulation thickness", then specify the appropriate density. CAESAR II will assume this thickness is on the inside of the pipe - fluid weight per length will reduce accordingly.

CAESAR II will consider the weight of the lining (glass, refractory) only. No adjustment in pipe stiffness will be made.

Normally the stress analysis of glass-lined pipe is not performed by computer analysis but manual calculation by experience. I think you'd better to ask the manufacturer of glass-lined pipe.
And if you don't have any experience for glass-lined pipe, I strongly recommend you request the analysis work to manufacturer.

You can find some information for analysis in Dueker(Germany) catalog