Jira isn't clever enough to recognise abstracted names like that. I used to cheat by simply padding the names with empty space prefixes, but that's a bit horrid when you do it in JQL. For months, the only fixes I know of are:
It's fourth valid way to do it - you create a new field called something like "sorted month", then use a plugin (script runner) to create a calculated field that populates it with 1 if your main field is Jan, 2 for Feb and so on.
Then your JQL could be something like "month in (Jan, Mar, Apr) order by sorted-month
(My third option was to write a field type plugin that gives you that works like any other select list, but has code that knows how to sort month names correctly. That is more coding than Norman's idea, but the JQL works more intuitively)
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