Hi Agree with Mani, that its the default behavior of sorting when dealing with alphanumeric objects.
Display object in block would be the concatenated one with "-" in it.However, you can use below variable in the block as first column and sort the data and Hide the column by making the data text color as white and removing the right border of the column and shrink the column to width of 2 or 4 pixels.
[Var1]=To Number([Year]+[Month])
ensure that Year in YYYY format and Month is in MM format (01,02 etc), so that your sort results in data as below
201001
201002
201101
201102
201201
Thanks
Mallik