I still doubt that this is the reason, but if it works for you this way, everything is ok.
(You could try it by your self:
Copy track 01 - Title 1.mp3 as first track from your desktop to your USB stick.
Then copy track 08 - Title 8.mp3 as second track to your USB stick.
Then copy track 03 - Title 3.mp3 as third track to your USB stick.
I bet, your player use this sort order 01, then 03, then 08.)