for demonstration, assume you data starts in cell M10 of Sheet1

first create a dynamic named range so only the populated cells will be in
your list.

Insert=>Name=>Define
name: List1
refersto:  =Offset(Sheet1!$M$10,0,0,countA(Sheet1!$M$10:$M$160),1)

Use List1 as the source for your validation dropdown

=List1

in the Change Event of the worksheet (on the sheet tab, right click, select
view code.  In the resulting module at the top, in the left dropdown, select
worksheet; in the right dropdown, select Change) do your sort:

Private Sub Worksheet_Change(ByVal Target As Range)
If Target.Count > 1 Then Exit Sub
On Error GoTo ErrHandler
If Not Intersect(Target, Range("M10:M160")) _
   Is Nothing Then
  Application.EnableEvents = False
  Range("List1").Sort key1:=Range("List1")(1), _
    order1:=xlAscending
End If
ErrHandler:
Application.EnableEvents = True
End Sub

Let's say you are managing your list in column J and that you have settup
your validation by:

Data > Validation allow List and point to column J

Then in worksheet code enter:

Sub Worksheet_Change(ByVal Target As Excel.Range)
If Intersect(Range("J:J"), Target) Is Nothing Then Exit Sub
Application.EnableEvents = False
Columns("J:J").Select
   Selection.Sort Key1:=Range("J1"), Order1:=xlAscending
Application.EnableEvents = True
End Sub

This code will detect entries in column J and automatically re-sort the
column.

Your validation list will always be in alphabetic order.

Just remember that the macro must go in worksheet code.