Find numbers within the Copeland–Erdős constant

Python 2, 64 bytes

f=lambda n,k=2,m=1,s='':-~s.find(`n`)or f(n,k+1,m*k*k,s+m%k*`k`)

Returns the 1-based index. Test it on Ideone.

05AB1E, 14 bytes

Uses 0-indexed output. Prime functions in osabie are very inefficient. Code:

[NØJD¹å#]¹.Oð¢

Explanation:

[       ]        # Infinite loop...
 N               # Get the iteration value
  Ø              # Get the nth prime
   J             # Join the stack
    D            # Duplicate this value
     ¹å#         # If the input is in this string, break out of the loop
         ¹.O     # Overlap function (due to a bug, I couldn't use the index command)
            ð¢   # Count spaces and implicitly print

Uses the CP-1252 encoding. Try it online!.

Jelly, 17 bytes

ÆRDFṡL}i
Ḥçßç?
çD

Returns the 1-based index. Try it online! or verify most test cases.

I've verified the last test case locally; it took 8 minutes and 48 seconds.

How it works

çD        Main link. Argument: n (integer)

 D        Decimal; yield A, the array of base 10 digits of n.
ç         Call the second helper link with arguments n and A.


Ḥçßç?     Second helper link. Left argument: n. Right argument: A.

Ḥ         Unhalve; yield 2n.
    ?     If...
   ç        the first helper link called with 2n and A returns a non-zero integer:
 ç            Return that integer.
          Else:
  ß           Recursively call the second helper link with arguments 2n and A.


ÆRDFṡL}i  First helper link. Left argument: k. Right argument: A.

ÆR        Prime range; yield the array of all primes up to k.
  DF      Convert each prime to base 10 and flatten the resulting nested array.
     L}   Yield l, the length of A.
    ṡ     Split the flattened array into overlapping slices of length l.
       i  Find the 1-based index of A in the result (0 if not found).

Alternate version, 11 bytes (non-competing)

ÆRVw³
ḤÇßÇ?

The w atom did not exist when this challenge was posted. Try it online!

How it works

ḤÇßÇ?  Main link. Argument: n (integer)

Ḥ      Unhalve; yield 2n.
    ?  If...
   Ç     the helper link called with argument 2n returns a non-zero integer:
 Ç         Return that integer.
       Else:
  ß      Recursively call the main link with argument 2n.


ÆRVw³  Helper link. Argument: k (integer)

ÆR     Prime range; yield the array of all primes up to k.
  V    Eval; concatenate all primes, forming a single integer.
    ³  Yield the first command-line argument (original value of n).
   w   Windowed index of; find the 1-based index of the digits of the result to
       the right in the digits of the result to the left (0 if not found).