You have at least three approaches to achieve what you describe.
1) Create a sort order field in the same dimension table that you have your dimension. Then you can specify sort order according to this extra field with Sorting/Custom/Sort by expression.
2) Make sure that you load the dimension value in the right sort order in the load script by using. Then you can turn off all sorting which will make the values to appear in load order.
3) Create a calculated dimension with the Dual()-function so each value is a text and a number. Then it will sort the values by the numeric value instead of the text value.
The expression above is =Dual( Customer , [Customer Number] )