I am  looking for a way in which wxPython GUI elements can be added into pygame. If there is an alternative to solve the purpose of adding GUI elements to a pygame please suggest so. I am having problem in installing PGU.Thanks for help.
I dont think its possible since wxPython (using wxWidgets c++) is a wrapper around the window management system, it rely on the OS functions to draw on screen (it convert to the right system calls depending on OS). 
Pygame uses SDL and a simple code to window management system, it calls few OS functions just to create the window and give it to SDL to draw on it, like a canvas. 
One way is:

using ctypes to make C calls into OS library files to draw system native widgets, this way you aren't using any pygame functions.

Other way(ugly and not sure if works):

I dont know how, but finding a way to convert widgets into image buffer objects and use it like surfaces(plain bitmaps).

What I think you should do:

Use pygame, build your own GUI using surfaces and mouse/keyboard events to control it or download some pre-made.
Stick with wx, you can build your GUI easily on system native theme, also you can use DC (draw contexts) to draw like pygame, and maybe (not sure) include pygame context into wx as one widget.
You can benefit from wx having its own event handler.

I hope it helps you in some way.
Adding wxpython in pygame