Plugin by default works with two deafult WordPress taxonomies ‘category’ and ‘post_tag ‘. As you already know WordPress has three built in taxonomies ‘category’, ‘post_tag’ and ‘link_category’. Further, plugin trace two WordPress post types ‘post’ (normal posts) and ‘page’. When you know this and that, you can easily modify plugin to index your_custom_taxonomy and your custom_post_type.
You need to modify two files: az-index-admin.php and az-index-cache.php. If you don’t need to index your posts, the most easiest way to make it work with custom post/taxonomy is to change ‘category’ into ‘ your_custom_taxonomy’ ($taxonomy), (there is several occurrences in both files) and to change ‘post’ into ‘your_post_type’ ($object_type), there is several occurrences in az-index-cache.php. And that’s it. Of course, with little extra effort you can add your custom taxonomy (not change ‘category’) but this is for sure the most easiest way to make it.
http://wordpress.org/support/topic/azindex-custom-post-types?replies=3#post-2449358