In this scenario, RadFilter takes initially the columns as defined in the grid. So, to order the filter options alphabetically in the filter, the grid columns are to be ordered: http://www.telerik.com/forums/sort-the-field-list.
If you would like to see such a feature in the control, I suggest you add it to the Feedback portal: https://feedback.telerik.com/project/108/Feedback/List/Feature%20Request. This will let you provide a specification and how it should be exposed for configuration, then the community can cast their votes and comment, and that will allow our management to prioritize such a task.
Perhaps you could reorder the filter menu options in the client-side showing event or in the server-side PreRender event, but I cannot guarantee this is possible and it is not a supported scenario for the control.