Go to the Search page instead of the Browse Members page, then you can do this sort.
Don't know if it's for everyone, but for some of us Member Search does not work. If I choose Croatia, for example, the search returns zero results: "0 Members Found: We're sorry, we didn't find any members that match your search."
I believe the bug has been reported somewhere in the Bugs forum recently, but I can't find the thread right now; only the one from a year ago.
Same for Australia, but I get results if I add a city rather than just the country.
Interesting. I, too, do get results when I add a city. Perhaps the system can only handle returning a certain number of members in the results; anything more and it just returns a 0 result, or no result at all.