Here it is. I sort "Test" into a separate letter group "DontIndex", and then surround that group with code that just eats it. You can add other keys to the same group, as shown in the code below, and they will be eaten together.
\RequirePackage{filecontents}
\begin{filecontents*}{DontIndex.xdy}
(require "texindy.xdy")
(define-letter-group "DontIndex" :prefixes ("~b") :before "default")
(merge-rule "^Test$" "~b") ;$
(merge-rule "^XYZ$" "~b") ;$
(markup-letter-group :group "DontIndex" :open "\def\DontShowMe#1{}\DontShowMe{" :close "}")
\end{filecontents*}
\documentclass{article}
\usepackage[xindy]{imakeidx}
\def\xindyopt{-M DontIndex -L german-din}
\makeindex[program=truexindy,options=\xindyopt]
\begin{document}
Disappear \index{Test} \index{XYZ}
More \index{abc}\\
Still more \index{xyz}
\index{=}
\\
And now testing \index{Testing}
\printindex
\end{document}
