I don't own a Kindle, I've got a jetBook, but from playing around with the Calibre system a lot, try going into the preferences and looking for something that refers to the output format in regards to the ACTUAL FILE NAME. Also, did you set calibre to the correct version of your kindle? (also found in the preferences)
Not sure if that'll do it for you, but for the jB, it sorts by FULL file name for certain file formats, so,,, let me know (for curiosity's sake)
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