Ha! I've been playing with this all morning long. In the long term, I think we might need a plugin developer, to be honest. In the short term: you could affix a set of Latin-script characters to each word to force the sort order:
So: generate an index, grab your place names, peel off the omega, resort the index, then GREP for two caps in succession and peel off the first. I dunno if this would work, I'm not 100% clear on how you are working.
Or, alternately, another way to force a secondary sort order: Go to "Sort Options" in the Index flyout, add a sort order you know you won't be using (Greek?), then learn correct alphabetical sort order in Greek, then prefix all of your placenames with Greek letters, in the way you wanted the final sort to run. What I've been doing is styling my Hebrew glyphs (for indices in Farsi and Kurdish) with a separate character style so they're easier to find and remove.
For the moment, I've simply included enough of the GN in the "sort order" field in the index tag dialogue to ensure that I get the right sorting; and I'm building a little QuicKey macro to do that fairly quickly/easily. That appears to be the least trouble. It puts a lot of information in the sort-order field, but so be it. Just didn't know if anyone else out there had invented the right wheel for this particular cart.