You cannot apply ordering to lists by default. You need to write up a custom class (sort of EquatableList etc.) or use LINQ Except & Intersect operators to compare lists.
But based on your comment, if you're looking for the LINQ equivalent of:
select * from Person p join PersonHobby ph
on ph.PersonId = p.PersonId join Hobby h
on h.HobbyId = ph.HobbyId order by h.Name
then that can be achieved as:
var query = people.SelectMany(p => p.PersonHobbies)
.Join(hobbies, ph => ph.HobbyId, h => h.HobbyId,
(ph, h) => new
{
Person = ph.Person, PersonHobby = ph, Hobby = h
})
.OrderBy(r => r.Hobby.Name);
basically we join person, person hobbies and hobby on the keys, and project all columns and sort it by the hobby.name field, as mentioned in your SQL.