You can use data-autodividers="true"
Check here http://view.jquerymobile.com/1.3.1/dist/demos/widgets/listviews/
DEMO http://jsfiddle.net/yeyene/5kfnT/6/
You can also use data-filter-reveal="true"
to hide or show.
For A-to-Z list navi bar
I am not sure you can use with this plugin + JQM or not.
Check here http://devgrow.com/slidernav-jquery-plugin/
Author page http://devgrow.com/slidernav/