Hi!
Some SPARQL engines like Dydra use language tags to sort strings: http://blog.dydra.com/2015/05/06/collation
It seems that Blazegraph should be able to do the same thing (using ICU library), but the documentation is old (yep, 2013 is old ! :p) and I don't know how WDQS is configured: https://wiki.blazegraph.com/wiki/index.php/Unicode
I'll look into it but cross-language collation is very tricky. ICU can help withing one collation (even then, single language can have more than one collation algorithm, and some do) but nothing guarantees the query result would have strings with one language. With several languages, there isn't really a well-defined order, and local rules may be contradictory.
In any case, the Query Service uses the default setting there (namely, ICU). But I'm not sure that setting alone would produce the result you seek. I'll look further into it.