Consider the two manifolds $\mathbb{R}^2$, equipped with the usual metric $g_{ij}=\delta_{ij}$, and $\mathbb{H}^2=\{(x, y)\,:\,y>0\}$, equipped with the hyperbolic metric $h_{ij}=\delta_{ij}/y^2$. Assume that the coordinates $x, y$ have the dimension of length. Then in the Euclidean case the length of a curve has the dimension of length (obviously): $$ ds=\sqrt{dx^2+dy^2}.$$ What about the hyperbolic case? Here it seems to me that the length of a curve is adimensional: $$ds =\frac{\sqrt{dx^2+dy^2}}{y}.$$
Questions. Am I right? Does all of this have a physical meaning of some sort, or it is just that I am not considering some dimensioned constant which has been set equal to $1$?
The correct interpretation of the situation is that the above assumption is false.
There's no reason why the coordinate functions of a Riemannian manifold must have dimension of length. A simple example is the radial coordinate system $(r,\theta)$ for $\mathbb{R}^2 \setminus \{0\}$. The angular variable $\theta$ is usually measured in radians, which as a unit is given by length / length, and so actually has no dimensions.