CREATE INDEX currently has the restriction that the index must fit in memory [1]...

CREATE INDEX currently has the restriction that the index must fit in memory [1]. As the data is already sorted, creating an index is not necessary anyway. The min/max indexes created automatically by the system are sufficient to complete the query in a few milliseconds.

  D CREATE TABLE passwords (hash TEXT, count INT);
  D COPY passwords FROM '~/Downloads/pwned-passwords-sha1-ordered-by-hash-v8.txt' (SEPARATOR ':');
  D .timer on
  D SELECT \* FROM passwords WHERE hash=upper('5baa61e4c9b93f3f0682250b6cf8331b7ee68fd8');
  ┌──────────────────────────────────────────┬─────────┐
  │                   hash                   │  count  │
  │                 varchar                  │  int32  │
  ├──────────────────────────────────────────┼─────────┤
  │ 5BAA61E4C9B93F3F0682250B6CF8331B7EE68FD8 │ 9545824 │
  └──────────────────────────────────────────┴─────────┘
  Run Time (s): real 0.005 user 0.007455 sys 0.000584

[1] https://duckdb.org/docs/sql/indexes