\documentclass[12pt]{article}

\usepackage{fontspec}
\usepackage{polyglossia}

\usepackage{makeidx}
\makeindex

\setdefaultlanguage{lithuanian}
\setmainfont{Noto Serif}
\setsansfont{Noto Serif}

\pagestyle{empty}
\begin{document}
\thispagestyle{empty}

h\index{h}.
H\index{H}.
i\index{i}.
I\index{I}.
į\index{į}.
Į\index{Į}.
j\index{j}.
J\index{J}.
y\index{y}.
Y\index{Y}.
x\index{x}.
%X\index{X}.
z\index{z}.
%Z\index{Z}.

\printindex

\end{document}


\index{}.