This is a very old thread, but I figured out a way to do this, so I thought I would share.

First, you want to put your volume documents into a single “book” document (through the “Book” panel), so that you can index them and view meta-entries in all volumes simultaneously. Once both (or more) documents are in the book, you can index them at the same time by clicking “Book” in the index panel.

You still run into the problem of having potentially duplicate numbers in your single index. You can fix this by adding a “Section Prefix” unique to each volume. Open up the “Document Numbering Options” for each section of a given volume. In your case, you would want the Section Prefix to be “I.” for volume 1, “II.” for volume 2, etc. Make sure to select “Include Prefix when Numbering Pages.” It is true that this will change the way your page numbers look on the pages of your book. But don’t worry about that right now.

After you finish compiling your index, generate it with “Book” toggled on in the Index panel. In the “Generate Index” dialogue box, make sure to select “Include Book Documents.” This will generate a single index for all documents, and it will automatically ensure that all of your index entries have the right prefix.

After you have generated/placed your finished index and formatted and proofed it to your standards, go back to the Numbering options for each of your documents and de-select “Include Prefix when Numbering Pages.” This will remove the prefix from your printed pages, but your index will remain as it was generated (and the metadata in your index will also still reflect the multiple volumes).

This probably won’t help you, since this question has been unanswered for a few years. But maybe it will help someone else. Cheers!