Let us say that an abstract group $\Gamma$ is **self-contained** (I just made up this terminology) if $\Gamma$ is isomorphic to its proper subgroup of finite index.

Next, each discrete group of isometries of the euclidean space $E^n$ is also a Kleinian group (it is a discrete subgroup of $Isom(H^{n+1})$), since the isometry group $Isom(E^n)$ embeds into $Isom(H^{n+1})$. Thus, you already know examples of self-contained Kleinian groups (they come from discrete isometry groups of $E^n$). All these examples are **virtually abelian** (contain a free abelian subgroup of finite index), they are also known as **elementary** Kleinian groups, let us ignore them.

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. Consider, for simplicity, 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.

Once you go to dimension $\ge 4$ and ask about **any** property of finitely generated Kleinian groups, not much is known (which is specific to finitely generated Kleinian groups as opposite to general Kleinian groups and general finitely generated matrix groups). In particular, it is unknown if there are self-contained finitely generated nonelementary Kleinian groups in $Isom(H^n)$, $n\ge 4$.

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 $1$?