I've always had this issue with mine, the NESemu orders the games in the order they were put in the SD card, not the alphabetical order
What I do is to cut/paste the entire rom library from the SD card back to my PC, add the new games, order them alphabetically, THEN transfer them to the SD card altogether (selecting from top to bottom)
That way the older games will be on top while the newer games will be in the bottom of the list, and since it was trasnfered already in alphabetical order, they will remain that way if done right
(But you'll have to do this again and again to add new games, otherwise the newer ones will remain at the bottom of the list)
Neat trick huh? Hope it helps =)