Hi @Deep_Patel
As @igor explained, the mydata.bam data upload will trigger the automatic creation and indexing of a mydata.bam.bai index. This index is a dataset that is not exposed as a separate dataset in your history. Instead, it is part of a composite dataset. You never need to load a bai or fai index up to Galaxy.
You can capture the data URL link to both parts of that composite dataset from the disc icon used for dataset downloads.
You will need to copy and paste both URLs into the UCSC custom track data loading form. AND, importantly, your Galaxy history must be set to a shared state (otherwise, no other outside application can read the data!). The first level “accessible” is enough.
Prior discussion of an issue around this function → send files from Galaxy to UCSC's EU mirror - #11 by jennaj. I don’t think this is what is going on now, but if you still have problems after capturing the URLs from the same dataset in a Galaxy history that is set to to a shared state, please let us know the URL of the Galaxy server you are working at and the URL of the UCSC genome browser you are using, and I’ll see if I can reproduce, and we can follow up from there. The US/EU/AU hosted servers from both projects should all work together fine, but if some combination has a problem, we can get that reported and sorted out.
Please let us know how this goes! 