I'm not able to reproduce that. Which minor version of LR and which operating system?
However, there is a bug where Photo > Photo Merge ignores any previous corrections made with Metadata > Edit Capture Time, causing the merged photo to have the previous date/time of the original photos: Lightroom CC: If photos are merged, the resulting file ignores previous capture time corrections. The merged photo will thus not appear adjacent to the originals when sorting by capture time. Perhaps this is what's happening to you?
I am on a Mac OS 10.10.4, LR CC 2015.1 Release.
I set sorting to Capture Time, but while the HDR file is being saved to LR sorting is changed to Custon Order and the file appear as the last one in the library. Once I select Capture Time, the image is moved back next to the files used to create it.
I noticed this morning that this is also doing this when I aam roundtripping an image to Photoshop.
Yes, I use lightroom for 500 pics a day and it switches sorting order on me once or twice a day. I can't figure out when or why because I usually don't notice until it's too late (and I've skipped 100 images)
It seems to have something to do with taking two photos into photoshop as layers, but it is not consistent.