Realtime computer graphics work almost nothing like real life, because that would be incredibly slow. Most of what you see is just a bunch of tricks. Ideally you'd compute this effect in a 3D app and use it as a lightmap, but that requires a static light source. If you really need the light to be dynamic, you can try faking it with a projector (you'd need a custom shader in this case, like this one).

In the light's inspector window you can choose a cookie texture. If you use that with a spotlight, you should be able to position and aim the light so that it falls through the window. If your player can also go outside, you'll have to switch off the light when he does so, or use the culling mask so that the cookie light only affects the objects inside the room with the stained glass window.