Yes you can create an index, when opening an entity in the index tab. Here you can set the order an entity is saved in the database. Know that when you have an index, creating objects take more time. But with a lot of data and a lot of retrieves this can make the application a lot faster!
https://docs.mendix.com/refguide/indexes/
How/in which order the data is stored in the database is controlled by your database server. When you retrieve data it can happen that all data is coming from am index (and not from the table). In this case the order can be different (compared to the order in the table)