using System.Collections.Generic;

using System.Linq;

using static System.Console;

public class Program {

    public static void Main() {

        var lista = new List<string> { "1.01", "1.A", "14.04", "14.11", "22.01", "3.04", "30.01", "4.01", "40.02" };

        foreach (var item in lista.OrderBy(item => item, new MyStringComparer())) {

            WriteLine(item);

        }

    }

}

​

public class MyStringComparer : IComparer<string>

{

    public int Compare(string x, string y){

        string[] xs = x.Split('.'), ys = y.Split('.');

        int x1, y1,

        comp;

        //assumi que antes do ponto sempre é um int então

        if(int.TryParse(xs[0], out x1) && int.TryParse(ys[0], out y1)){

            comp = x1.CompareTo(y1);

            return comp == 0 ? string.Compare(xs[1], ys[1]) : comp;

        }

        comp = string.Compare(xs[0], ys[0]);

        return comp == 0 ? string.Compare(xs[1], ys[1]) : comp;

    }

}