When search on Google, I can add "site:mydomain" as suffix, does it help SEO?
It should mean to tell Google my site contains this keywords, and Google will create index to link to my site, right?
No, this doesn't affect your rankings in any way. It may help you research which pages on your site they would rank highest for a given keyword, which in turn would help you to make updates so that the pages you want to rank are indeed the ones it selects of the pages on your site, but it doesn't influence the rankings. Google doesn't add keywords just because someone searched for a keyword on a particular site, because if they did, all you'd have to do to rank would be to continuously search your own site for your top keywords and game the system.