Bands with names starting by 'The' are first sorted under The > then sorted by names starting by a number > then alphabetically :
The 13th Floor Elevators
The Alan Parson's Project
The Allman Brothers Band
And so on
It seems to be logical when you scroll a list. But, I agree, that it's different as, for instance, in a record store where artists are ordered alphabetically on the first letter on the name like : Beatles (The), Cars (The), Delfonics (The)... etc.
The issue is that this used to be the case as of last week, and is how most people are used to sorting their music. There's no reason every artist that starts with The should be sorted to go with Taylor Swift.
The functionality changed in the last week and it's not the way you'd expect artists to be sorted. The same is also being applied to track names and albums, so "A Lesson in Romantics" by Mayday Parade is being filed with A's rather than L's, and "The Bird" by SYML is filed under T's rather than B's.