Now, there are self-contained nonelementary Kleinian subgroups $\Gamma$ of $Isom(H^2)$, namely each free group $F$ of infinite rank is self-contained, just take the kernel of an epimorphism of $F$ to $Z/n, n>1$. If $F$ is countable, it embeds as a discrete subgroup into $Isom(H^2)$. Using a similar construction, one can also construct self-contained infinitely generated Kleinian groups in $Isom(H^3)$ which are not free. If you insist on finite generation, then there are no finitely-generated self-contained Kleinian subgroups of $Isom(H^3)$, this is proven as follows. FirstConsider, by Selberg's lemmafor simplicity, it suffices to consider torsion-free Kleinian groups. Every such group is isomorphic to the fundamental group of a compact hyperbolizable 3-manifold (possibly with boundary). Now note that if $M$ is a compact hyperbolizable 3-dimensional manifold then either $M$ is homotopy-equivalent to a complete hyperbolic 3-manifold of finite volume or $\chi(M)<0$. In the latter case, no $d$-fold ($d>1$) finite cover $M'$ of $M$ is homotopy-equivalent to $M$ since $\chi(M')=d \chi(M)\ne \chi(M)$. If $\chi(M)=0$, then volume of $M$ is a topological invariant and you use the same argument as above using volume instead of the Euler characteristic.
If you restrict further to geometrically finite nonelementary Kleinian groups $\Gamma< Isom(H^n), n\ge 4$, then, I think, they cannot be self-contained but I do not see a proof at the moment.
Edit. Is just noticed that all what I said about finitely generated Kleinian groups in dimension $\le 3$ was covered by Ian Agol's comments.
I see, however, how to deal with convex-cocompact groups in any dimension.
Theorem. Suppose that $\Gamma < Isom(H^n)$ is a convex-cocompact nonelementary group. Then $\Gamma$ is not self-contained.
I can write down a proof is you are interested (this is an old post after all). In the case of 1-ended groups, this result follows from a Zlil Sela's theorem.
Aside, there is an interesting related problem: For which (nonelementary) Kleinian groups $\Gamma< Isom(H^n)$ there exists $\alpha\in Isom(H^n)$ such that $$ \alpha \Gamma \alpha^{-1} < \Gamma $$ is a proper subgroup (one can add "of finite index"). The best result I know in this direction is due to Matsuzaki and Yabuki: The Patterson-Sullivan measure and proper conjugation for Kleinian groups of divergence type. Ergodic Theory Dynam. Systems 29 (2009), no. 2, 657–665. They proved that if $\Gamma$ is of divergence type then such proper conjugation cannot exist. On the other hand, for some groups of convergence type, proper conjugation is possible, but, in, the examples that I know, the index is infinite.
Question. Suppose that $\Gamma< Isom(H^n)$ is a nonelementary discrete group and $\alpha\in Isom(H^n)$ is such that $$ \alpha \Gamma \alpha^{-1} < \Gamma $$ is a subgroup of finite index. Is it true that this index equals $1$?