Yes that is correct.
The asset 'obj_myobject' defines the object. In gml, referencing 'obj_myobject' is just another name for the object index.
OP can't say 'obj_myobject.sprite_index' unless he has instances. Because only instances have the built in variable 'sprite_index'.
However, the object definition still has a sprite which is retrievable with 'object_get_sprite(obj_myobject.'
He can build a list or like
GML:
ds_list_add(myObjectList, obj_myObject1); // obj_myObject1 is the name of an object index in the asset list
ds_list_add(myObjectList, obj_myObject2); // obj_myObject2 is the name of an object index in the asset list
ds_list_add(myObjectList, obj_myObject3); // obj_myObject3 is the name of an object index in the asset list
ds_list_add(myObjectList, obj_myObject4); // obj_myObject4 is the name of an object index in the asset list
// etc..