Hello,
You can't do it via service studio. Since they are system entities.
Nontheless, if you have direct access to the database it might be possible to add indexes on DB level.
But still, there might be limitations on what you can do or not. (since it's a system entity and being onprem or cloud might give you more or less flexibility)

Depending on the use case or the reasoning (for example the externalId attribute), you could put the value u want on an entity that extends the User system entity.  (with a FK to Users)
And index them on your extension table.

Which values do you want to index?