Oh Lord, I doubt very many here in the UK can answer that, but a friend of mine delivered by elective repeat c-section in the Portland in central London (she's american, not entitled to NHS either) and the bill ran into several thousand pounds, all of which was covered by her insurance. The best thing to do is to find a private consultant in the area you want to deliver and ask for a breakdown of costs for a private patient. You can deliver in an NHS hospital, but they will present you with the bill. If you don'thave a long term address in Glasgow, it may be an issue because they may not be able to bill you. Your other option is to find a private midwife and opt for a home birth. The last time I checked, a priate midwife would cost 3-4 thousand pounds, and you would see the same person right from the beginning of your pregnancy, through the birth and post partum care. It may well be the cheaper option, but (a) I don't know if your insurance will cover that, and (b) I don't know how keen you'd be to give birth at home with no professional back up or pain management. Do some research, a quick google should find something private in Glasgow, it's a big city, there's bound to be something there.
To anyone out there who migh bash this girl, any child born to a parent in the UK who is subject to immigration control (require a visa, or other immigration documentation) is NOT entitled to UK citizenship, free health care or socal benefits such as child benefit, free playschool, housing benefit, JSA, etc. Ireland and the UK changed their immigration policies to prevent illegal immigrants from entering the country heavily pregnant to deliver in the country when they haven't been cleared medically to travel home, then using their child born in the country as leave to remain as a foreign national caring for a family member who is a UK/Irish citizen.