I assume that in this case, by "indexed" you mean "sorted"  If you create a
catalog or directory type mailmerge main document in which you insert the
mergefields into the cells of a one row table and execute that merge to a
new document, it will contain a table with a row of data for each record in
the datasource.  You can then use the Table>Sort facility to sort the data
and then insert a row at the top of the table into which you insert the
field names, then save that document and use it as the data source for the
mailmerge that you originally wanted to create.