I do not think this can be changed via language settings. IIRC, the alphabet string is used mostly for reports to limit users whose firstname / lastname starts with certain letter.
Sorting is generally left on the database (via the
ORDER BY statement) which in turn is affected by the defined collation. If you are on MySQL, please refer to http://dev.mysql.com/doc/mysql/en/charset-mysql.html
The problem of database sort order is a nasty one, and would take a lot of work to fix. I wrote a summary of the problem here: https://docs.moodle.org/dev/Database_collation_issue