While learning constructors in APEX, can I declare list in the main code rather than declaring it in anonymous window?

@Himanshu Shekhar Yes, you can declare the List in the main Apex class itself.

For example:

public class NewConstEx {
    public List<String> subjects = new List<String>{
        'Apex',
        'LWC',
        'JS',
        'Java'
    };
    public NewConstEx() {
    }
}

Then Anonymous Window:

NewConstEx N = new NewConstEx();
System.debug(N.subjects);

Your original approach is also correct:

List<String> mysubject = new List<String>{'Apex', 'LWC', 'JS', 'Java'};
NewConstEx N = new NewConstEx(mysubject);

Constructor is useful when you want to pass different Lists/values from outside. If the List is always fixed, you can initialize it directly in the class.