I was asked this question in my second year Analog Techniques oral examination and it had me stumped :-))

Later on I found out that the waveform generators use special waveshaping circuits (that use a bunch of transistors operating in a non-linear region)

You could apply Fourier series theory and filter out the higher sine frequencies that comprise the square wave, but a filter design would mean a very limited range...try this link:
http://www.wenzel.com/documents/waveform.html

Another way would be to convert the square wave to a triangular waveform using an integrator, before using some RC filter to better approximate it into a sine wave.

I am not sure how, but maybe you could also use some sort of an oscillator. :-/

kundi