Hi,
The states are sorted with the "Order" column of the zones listing in System > Zones, and that same order is used for the states drop down at the checkout. By default that value is empty (0) for all the zones, so they are displayed in alphabetical order.
To change it, go to System > Zones, then click on the "Order" column header so it becomes the current sorting of the listing. The drag handles then become active and a save order button appears at the top of that column. You can now reorder your counties by dragging them (or by typing the order numbers) and click that save button.
To make it easier, filter the listing first (with the search box or the zone type filter) so that only your counties are displayed before you reorder them.