Husk, 13 11 10 bytes
1-indexed solution:
#ȯṗdS¤+d←ḣ Ungolfed/Explanation
ḣ -- in the range [1..N] # -- count the number where the following predicate is true ← -- decrement number, S d -- create lists of digits of number and decremented ¤+ -- concatenate, d -- interpret it as number and ȯṗ -- check if it's a prime number Thanks @Zgarb for -3 bytes!