Looks like it working fine… it is the data that’s the issue… I’ll try to explain…
Many of the entries seems to have two addresses, the latter of the two containing only the state while the first has not state.
First, when you have multiple address per entry, things can appear to be really weird because which of the two addresses should be used when doing the ordering … it pretty random but more often of not, it be the second.
The second address contains only the state and an empty city. The “empties” will become before the “none-empties” when sorting ASC.
Now, not all the entries have two address… the second page on this page on your site:
They all have a single address with both the state and city filling in, you’ll notice that they are being ordered as expected.
That said, the solution is to edit the other entries so you have a single address that contain at least a city and state.
Hope that helps!