When your index page has a data type assigned to it, its URL takes the form yourdomain.com/index/[slug] rather than yourdomain.com/[slug]. This is because Bubble uses the first segment of a URL path to identify which page to load — allowing slugs at the root level would create a conflict between page names and data slugs.
What you might notice
Your index page's slugs appear as /index/slug rather than /slug
You can't set up a clean root-level slug URL for items displayed on your index page
Workaround
Use query parameters instead: yourdomain.com/?thing=mything
Use a "Send data" action on navigation to pass the relevant Thing without relying on the URL slug
You can read more about how slugs work in Bubble's documentation.