sp_BlitzIndex finding "Unknown" index
sp_BlitzIndex will list Unknown for the index name when the table is a heap. It's not saying you have an index named Unknown. The primary key that you added was added as non-clustered, and you don't have a clustered index on the table. A heap is a table without a clustered index.

If you don't want your table to be a heap, you could drop the PK and recreate it as a clustered PK.