When a regular noun ends in a consonant + y, you add "ies". However "Indy" shortens the name "Independent", which is a proper noun. In the case of proper nouns, you do not change the spelling, and you simply add an S to the end. There are exceptions, such as when a name ends with X, S, Z, CH, or SH, none of which applies here.
For example, the Kennedy family doesn't become the Kennedies when they gather in a large group, they become the Kennedys. Independent is no different.