OpenAlex doesn't index journals-- we index works (publications, datasets, etc). We index works which have records in at least one of our main, trusted repositories: Crossref, DataCite, HAL, PubMed, MAG, and others. And so when journals submit information on their publications to one of these repositories, we index their works.
If your journal's works are not getting indexed in OpenAlex, the simplest way to get them indexed is to register DOIs for them through Crossref.
Note [Nov 2024]: we are currently working on some significant enhancements to our systems that will make it easier to add new sources to our database. Once this work has been completed, we'll be adding more sources to our trusted repository list, will be collaborating with OJS to get works by their journals who aren't (yet) minting DOIs, and will be piloting direct ingestion from institutional repositories. Stay tuned!