Find Recursively Prime Primes
Oasis, 3 bytes

The program is 0-indexed. Code:

&lt;q2


Uses the formula: a(n) = nth_prime(a(n-1) - 1), with the base case a(0) = 2.

Code explanation:

  2   = a(0)

&lt;     # Decrement a(n - 1) to get a(n - 1) - 1
 q    # prime(a(n - 1) - 1)


Try it online!