Вам не хватает пары вещей.Этот код будет работать:
Set phoneNumbers = new HashSet();
student.setPhoneNumbers(phoneNumbers); // Add the phone numbers to the Student
Phone phone = new Phone("house","32354353");
session.save(phone); // Persist the new object
phoneNumbers.add(phone);
Phone phone = new Phone("mobile","9889343423");
session.save(phone); // Persist the new object
phoneNumbers.add(phone);
Student student = new Student("Eswar", phoneNumbers);
session.save(student);
transaction.commit();