Don't worry, it isn't rude or gross. It doesn't have any special meaning in U.S. English. It's not a phrase a native speaker would use. For the most part, particularly when talking to U.S. speakers, it is best to use phrase like "in India," or "of India," and avoid the adjective "Indian," because there's a long history of using the word "Indian" to mean "an indigenous Native American." A completely separate detail. In some parts of the United States, as the seasons change from summer to winter and the temperature gets chilly, sometimes we get a surprising lovely week or two of nice warm weather in late fall. It doesn't happen every year. When it does, we call it "Indian summer." Nobody really knows why it is called that.

It could mean something else. The term good evening means that he is wishing you a good evening. If you're reply was "a hot Indian evening" it could be interpreted to mean that you are hoping for a hot Indian evening or wishing him to have a hot Indian evening and as you are Indian...it could be misinterpreted. A hot evening could be interpreted as a romantic evening. However, he could have just gotten busy or had issues with the internet. I think most people would understand you were commenting on the current weather. Perhaps in the future just put "it is" in front of "a hot Indian evening."

thanks a bit relieved !!