var hsQ = from hspt in hospitals
          orderby hspt.County, hspt.City
          group hspt by hspt.County;
It obviously groups by country and then sorts by city.
However, I found the following even better as it groups first by country, sorts by country and then sorts within the group by city:
var hsQ = from hspt in hospitals
          orderby hspt.City
          group hspt by hspt.County into hsptGroup
          orderby hsptGroup.First().County
          select hsptGroup;
 
