Navigation/Tabbing/Arrow Keys & Multi-select Lookups

Is there any way to control how the Tab and arrow keys functions in a form, specifically w/ multi-select Lookups? When using the Tab and arrow keys to navigate and make selections in forms we seem to get stuck on multi-select Lookups - the down arrow key doesn't make a selection, we have to start typing something. This doesn't seem to be the case w/ single select Lookups, or multi-select NON-lookup fields - these all work fine. Does anyone else out there even have this issue or complaint?

The table for our Lookups are in a separate application and by default are displayed alphabetically. I've tried sorting them using a function, but it causes the fields in the form to behave really odd/slowly and they become basically unusable.

Any solutions out there?