Yeah, I saw this ranking on a news site a few weeks ago with a headline about how the U.S. ranked surprisingly low. I found the nations that ranked highly pretty odd, so I looked it up. The index does NOT factor in wealth, but it DOES factor in "carbon footprint". As producing wealth generally involves using energy, and using energy involves at least some pollution, this index therefore penalizes a country for being rich. It also doesn't factor in things like freedom or culture. It does factor in life expectancy.
So a country run by a dictatorship where only the dictator and his cronies have any wealth and comfort, and the rest of the people live in primitive squalor, will rate very high as long as they don't kill the people too young.