This is likely the case. I have an older (2012) car stereo that plays from a USB drive, but will play in the order the files are written to the USB drive. This order is effectively random, from a listener's point of view. I believe this is a limitation of the FAT drive formatting; your car may recognize the SD card if it's formatted NTFS or something else, but it may not. Mine doesn't.
My solution is to use a freeware called DriveSort. This will rewrite the file allocation table (which is where FAT gets its name) in the order you have selected, usually alphabetical/alphanumerical. It's portable, meaning you don't have to install it - just download the executable, put it in a logical spot so you can find it later, and run the executable.
There are other utilities available to do the same thing; this was the first one I tried and it worked, so I stopped looking.