I too am a fairly new golfer, taking lessons since about April. My lessons are outside but they are typically on the range, practice green or short game area. I've been told the most important thing to learn when you start out is the basic mechanics of every part of the game. So whether its indoors, or outside, its really whatever you're most comfortable with. When you get comfortable with the basic mechanics and your swing, then would be the time you want to start looking at playing lessons with a pro out on the course.
Do you live in an area of the country that has inclement weather in the winters? One benefit of indoor lessons would be continuing them year round. Hope this helps and keep with it!