Where are you seeing this difference??? The OS ???
I suggest when you export file and you want a specific order, rename them with a numbering prefix.... Otherwise OS sort differently from Lightroom ..
Files on disk don't really have an order. The order you see after you export is whatever order Windows Explorer or Mac Finder show the files in. That order defaults to filename, probably. You can specify a different sort order in those apps, or you can rename your files on export with a sequence number embedded in the filename that will ensure that the files list in the "correct" order.
I just tried to change file name will let you know. Very frustrating. Help