Indices are fields in Word. And much like functions in Excel, they have 2 forms, i.e. the formula form and the results form.
For your inserted index, right click and pick Toggle Field Codes
from the context menu. The field is now in the formula form that may look like this
{INDEX \c "2" \z "2057"}
Type right before the closure brackets this string \e ", page "
that the above formula should be like this
{INDEX \c "2" \z "2057" \e ", page "}
Now toggle back to the results form by right-clicking the field and picking Toggle Field Codes
from the context menu.
The final step is to update the field to reveal your changes, so right click and pick Update Field
from the context menu.
Note: If nothing happened, change the added string from \e ", page "
to \e ", p. "
. The string you are inserting with the \e
switch is very limited in characters so you may need to abbreviate Page
as p.
or pg
.