Under (rightclick >) Options > Preferences > Subtitles [Subtitle properties] > (Font)
you can set/select (independently for Primary and/or Secondary subtitles) i.a. default font - fontstyle - fontcolor - fontsize and (important for your purpose) font
script.
Did you try that already?
If the script you're looking for doesn't seem to be present, you may try if it perhaps is when using another font.
(E.g. Ariel unicode MS.) With a moviefile and (text)based subtitles loaded you can also do so following rightclick > Subtitles > Primary/Secondary > Subtitle properties > Font (similar post)
P.S.:
You don't mention whether you're using the "new subtitle parser/renderer"-option or not (under [Subtitle properties]). In this connection please note that new subtitle parser/renderer has been buggy for "right to left" languages for some sime. However, this is reported to have been fixed in version 2.58.1058.) (See
this post.)