OrderBy
doesn't modify the input list; it returns a new sorted sequence. You need to store that sequence and use it to build your list:
buildingClubList = buildingClubList.OrderBy(c => c.Text).ToList();
Alternatively, sort the items before you add them to the list:
IEnumerable<BuildingClub> allBuildingClubs = localClubs.Union(psfyClubs).OrderBy(b => b.NewBuildingClubName);