How do I generate a sequence of numbers like this?

Output the sequence "manually" using

i=0
while [ "$i" -lt 1000000 ]; do
    printf '%d %d\n' "$(( i+1 ))" "$(( i += 40000 ))"
done

or

for (( i = 1; i < 1000000; i += 40000 )); do
    printf '%d %d\n' "$i" "$(( i + 39999 ))"
done

or something like it.

Or paste together two separate sequences from seq:

$ paste <( seq 1 40000 1000000 ) <( seq 40000 40000 1000000 )
1       40000
40001   80000
80001   120000
120001  160000
160001  200000
200001  240000
240001  280000
280001  320000
320001  360000
360001  400000
400001  440000
440001  480000
480001  520000
520001  560000
560001  600000
600001  640000
640001  680000
680001  720000
720001  760000
760001  800000
800001  840000
840001  880000
880001  920000
920001  960000
960001  1000000

Suggested by JdeBP in comments:

jot - 1 1000000 40000 | awk '{ print $1, $1+39999 }'

but it's essentially the same as the second loop at the top, and since seq is more readily available on Linux machines (jot is originally a BSD utility, while seq is part of GNU coreutils), and the most common visitor here is a Linux user, and the question was tagged with seq, it may be more usefully written as

seq 1 40000 1000000 | awk '{ print $1, $1+39999 }'