First defined a helper function for clean with it, index column

import re # string

def renameIndex(as_list):
    for v in range(len(as_lista)):
        as_lista[v] = re.sub("[\(\[].*?[\)\]]", "", as_lista[v])
        as_lista[v]=''.join([i for i in as_lista[v] if not i.isdigit()])
        as_lista[v]=as_lista[v].strip()             #If you want to remove leading and ending spaces, use str.strip():
        as_lista[v]=" ".join(as_lista[v].split())   #If you want to remove duplicated spaces, use str.split():
    
    return as_lista

Download file from The World Bank and after, can use pandas

import pandas as pd

GDP = pd.read_csv('API_NY.GDP.MKTP.CD_DS2_en_excel_v2_9943054.csv' , index_col=0, skiprows=4, delimiter=',', encoding="utf-8-sig")
as_lista = GDP.index.tolist()
GDP.index = renameIndex(as_lista) # Helper Function

Index is clean!