ORDER BY {Lookup field} gets "Lookup has no default value"

I have a TADODataset and want to be able to order the data based on the
field a user selects from a DBGrid, the problem is I have a field that is a
lookup field. When you try to sort this colum you get

"ClientLookup has no default value"

Is their any way around this or cannot i simply not do it?

SELECT * FROM CLIENTS ORDER BY CLIENTLOOKUP

(Client lookup being the lookup field)

Many Thanks


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