You can adjust it in the Select projection:
var dataSource = WebConfigurationHelper.GetSupportedDomainsString()
.Select((domain, index) => new { Index = index + 2, Name = domain });
The reason my original suggestion of new { index + 2, Name = domain }
wouldn't work is that a projection initializer (where you specify just an expression, and let the compiler infer the name) only works when the expression is a "simple name", a "member access" or a "base access".
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