You can't copy files "in a certain order". The files are always sorted at the target by either
a) the filename
or
b) the filedate
or
c) the filesize
or
d) the file extension/file type
If you want that your files will be played from your usb stick in a certain order, you have to find out what your playing software except as "sort order attribute". Does it needs the filename to be named for example like
01 - artist - title.mp3
02 - artist - tilte.mp3
03 - artist - title.mp3
Or does it play the songs alphabetically like
ABBA - title 1.mp3
COMMODORES - title 2.mp3
or does the player read the embedded ID3 tags inside your songs?
If yes, by which tag are they sorted? By ARTIST? By TITLE? By ALBUM?