How do capital letters sort relative to lowercase letters? How do letters sort relative to digits? How do you consider code points that can correspond to different letters in different lettering systems with different ordering? How do you handle diacritics? Do you want the behaviour to be stable through Unicode normalization? Should it differ based on the character encoding? Should different representations of the same character, such as blackboard lettering or circled numbers, be sorted with other representations of the same character or grouped separately?
You can come up answers for these questions, but there’s no unambiguously correct option. The least subjective option is sorting based on encoded byte representation (if that is even specified), but that is not “alphabetical” and would not be intuitive to most users.