Create one file with two list

re: It's possible to create one document with two List: one of Markers and other Alphabetical Index?

As a single final/rendered document, it's straightforward.

As a single {file} source document, maybe.

As a .book, you can have any number of associated generated component files, ToC, LoM, IX, LoF, etc.

For ToC, FM also supports a MiniToC feature, that embeds the ToC directly in the main document. I'm not sure the technique could be extended to other types of markers. Other contributors here may have experience with that.

In any case, you can always use the external generated files, and import them as Text Insets in your apparently-single main document.