Is it narrated that the Messenger of Allah, peace and blessings be upon him, mentioned some of the congregants clenching the fingers of their right hand and raising the index finger when the muezzin or imam says "La ilaha illa Allah" (There is no god but Allah)?

There is no legal (Shari'ah) evidence for pointing with the index finger after completing the Adhan or Iqama, or when entering into prayer. Rather, what is established is pointing with it in the two Tashahhuds (the first and the last) to signify Tawhid (monotheism). As for what is established after the Adhan and Iqama, it is responding to the Muezzin and reciting the reported supplication: "O Allah, Lord of this perfect call...", and after ablution: "I bear witness that there is no god but Allah... O Allah, make me among those who repent and make me among those who purify themselves."