Ordering of proper nouns in a list
I believe you were instructed correctly.
I see nothing in History, Geography, or Topography that places Yemen anywhere but out of place on this list.
I think I would certainly note for correction the order of this list. If there were an unstated reason for the current order, it should be the object of an edit by the author. If the author is not involved, then ordering the list alphabetically seems correct.
Alphabetizing lists serves a useful function by allowing a reader to find something on a list easier.