Definitely, doing this in the Power Query/source should be the way to go, that's why I said it is a bad practice. But considering that some of the items are South America and North America I do not expect the list to be extremely long.
Did I answer your question? Mark my post as a solution! Thank you for the kudos 🙂
You can't do this in DAX alone. Sorry, you're out of luck. The only sort that DAX obeys natively is the alphabetical order of strings and the natural order of numbers/date(time)s (date(time)s are numbers in disguise). To have a different sort than the mentioned ones you have to create a column and manually insert the numbers by which you want to sort the column. This is best done either in PQ (using Add Column) or outside the system in some ETL layer or in the source.