Why is the order of brainwaves not labelled "alphabetically"?
They are ordered based on when they were discovered/named (as pointed about by Ana's comment). Alpha and beta waves were among the first signals observed in EEG data. From Wikipedia:


  Alpha waves were discovered by German neurologist Hans Berger, most famous for his invention of the EEG. Alpha waves were among the first waves documented by Berger, along with beta waves, and he displayed an interest in "alpha blockage", the process by which alpha waves decrease and beta waves increase upon a subject opening their eyes. This distinction earned the alpha wave the alternate title of "Berger's Wave".


Hans Berger documented alpha and beta waves in a series of articles from 1929-1933.

Gamma waves took a few more decades to identify, because the higher frequency necessitates faster sampling. The earliest EEG systems were unable to measure oscillations at such fast frequencies.