You cannot readily have both the paragraph # and the page # in the Index. That said, you could use something like:
Sub Demo()
Application.ScreenUpdating = False
ActiveWindow.View.ShowFieldCodes = True
With Selection
ActiveDocument.Indexes.MarkEntry Range:=.Range, _
Entry:=.Text, EntryAutoText:=.Text, Bold:=False, Italic:=False
.End = .End + 1
With .Fields(1).Code
.InsertAfter "\t """
.Collapse wdCollapseEnd
.InsertAfter """"
.Collapse wdCollapseStart
.Fields.Add Range:=.Duplicate, Type:=wdFieldEmpty, _
PreserveFormatting:=False, _
Text:="PAGE # ""' PL '0"""
.Fields.Add Range:=.Duplicate, Type:=wdFieldEmpty, _
PreserveFormatting:=False, _
Text:="STYLEREF ""Default Paragraph Font"" \n"
End With
.Fields(3).Code.Font.Bold = True
.Fields.Update
End With
ActiveWindow.View.ShowFieldCodes = False
Application.ScreenUpdating = True
End Sub