How to sort string column in ascending order in SQL

With a lot of difficulty, if that's what you are storing.
String sorting is character based, and the whole comparison depends on the first different character - so the sort order will not be numeric:

1
10
11
12
...
2
20
21

In your case it's even worse, because the "TH", "ST", "ND" suffixes are counted in the comparison as well.

What I would do is set up a separate table

Grade Description
(int) (NVARCHAR(20))
1     1ST Grade
2     2ND Grade
3     3RD Grade
4     4TH Grade
5     5TH Grade
6     6TH Grade
7     7TH Grade
8     8TH Grade
9     9TH Grade
10    10TH Grade
11    11TH Grade
12    12TH Grade
99    Advanced
199   Mains

And store the Grade value with your other data, sort by that, and use a JOIN to retrieve the Description.

Any other method is going to be clumsy and error prone.