Alphabetical order in lookup field not working correctly with spaces

Alphabetical order in lookup field not working correctly with spaces

I have a lookup field that has people's names, and the options are sorted alphabetically.
They are correctly sorted by first name, but if there is multiple people with the same first name, then the last name isn't being sorted alphabetically (see screenshot).
The options for the lookup use a formula field which returns: First_Name + " " + Last_Name