As Griff said, you need to sort by the date value, not the formatted date. But you can't do that if you're grouping by the formatted date.
Try grouping by the start of the month, and applying the formatting later. Something like this should work:
WITH cte As
(
SELECT
DateFromParts(Year(CreatedDateTime), Month(CreatedDateTime), 1) As CreatedMonth,
Count(*) As Request
FROM
LRequests
GROUP BY
DateFromParts(Year(CreatedDateTime), Month(CreatedDateTime), 1)
)
SELECT
Format(CreatedMonth, 'MMMM yy') As Months,
Request
FROM
cte
ORDER BY
CreatedMonth
;