One way to have the result you want, is to use the returned EntityCollection Sort Method,
which have an overload that accepts System.Collections.IComparer.
And then you have 2 options either to implement this interface yourself, or use a class that implements it like "System.Collections.CaseInsensitiveComparer", which accepts "System.Globalization.CultureInfo" in it's constructor.
To illustrate this by an example:
CultureInfo myCultureInfo = new CultureInfo("sv-SE", false);
customers.SupportsSorting = true;
customers.Sort((int)CustomerFieldIndex.CompanyName, ListSortDirection.Ascending, new CaseInsensitiveComparer(myCultureInfo));
I hope this one works fine with you.