What Sirtel and JSWolf say. Series on a Kindle (unless it's jailbroken and using something else as a reader) comes from Amazon, if there at all and often wrong.
The only fudge is to have books only sideloaded and the metadata (not name) have <series-name><#number><actual-title> as the title and then it will sort. (without the < >). If there are more than 9 books then 01, 02 etc...
Get a Kobo if Collections and Series is important.