I think I found a way to show nulls in the end and still be able to use indexes for sorting.
The idea is super simple - create a calculatable column which will be based on existing column, and put an index on it.
ALTER TABLE dbo.Users
ADD [FirstNameNullLast]
AS (case when [FirstName] IS NOT NULL AND (ltrim(rtrim([FirstName]))<>N'' OR [FirstName] IS NULL) then [FirstName] else N'ZZZZZZZZZZ' end) PERSISTED
So, we are creating a persisted calculatable column in the SQL, in that column all blank and null values will be replaced by 'ZZZZZZZZ', this will mean, that if we will try to sort based on that column, we will see all the null or blank values in the end.
Now we can use it in our new index.
Like this:
CREATE NONCLUSTERED INDEX [IX_Users_FirstNameNullLast] ON [dbo].[Users]
(
[FirstNameNullLast] ASC
)
So, this is an ordinary nonclustered index. We can change it however we want, i.e. include extra columns, increase number of indexes columns, change sorting order etc.