You can use the OrderBy() Linq extension method, like this:
Dim ext = {"*.jpg", "*.bmp", "*png"}
Dim files = ext.SelectMany(Function(f) Directory.GetFiles(romPath, f)). _
OrderBy(Function(f) f). _
ToArray()
It won't make any difference for speed, sorting is inherently O(nlog(n)) complexity. It does make a diffence in storage, OrderBy() has O(n) storage requirement. Array.Sort() sorts in-place. Not a big deal for small n
values, like you'd expect on a disk directory.