The alphabet in the albanian language is :
A B C Ç D DH E Ë F G GJ H I J K L LL M N NJ O P Q R RR S SH T TH U V X XH Y Z ZH
This is the code I am trying
\documentclass{article}
\usepackage[paperwidth=140mm,paperheight=210mm,top=25mm,bottom=20mm,left=20mm,right=20mm]{geometry}
\usepackage{kantlipsum}
\usepackage[xindy]{imakeidx}
\makeindex[columns=2, title=Indeks]
\indexsetup{othercode=\footnotesize}
\begin{document}
\kant[1-2] Centurion\index{Centurion} is writing something,
Dhimitër\index{Dhimitër} finished writing.
\kant[3-6] Çarli\index{Çarli} is writing something,
Dhimitër\index{Dhimitër} finished writing.
\kant[7-9] Eugen\index{Eugen} is writing something,
Genadios\index{Genadios} finished writing.
\printindex
\end{document}
And this is the result :
The letter Ç should appear between C and D (even merged with C would be fine)
I tried xindy -M texindy -L turkish -C utf8 sample.idx but xindy wasnt recognized in windows' cmd (xindy: The script engine could not be found.
xindy: Data: scriptEngine="perl.exe"), so I am using makeindex sample (MikTeX 2.9)
I hope this is not a duplicate.

xindyto work (see https://tex.stackexchange.com/q/158796).makeindexdoesn't support UTF-8. – Nicola Talbot Nov 19 '17 at 16:09