When in a localized environment, the best thing you can do is to group according to the local alphabet. On my Windows Phone I use English language as localization even though my navive language is Swedish. This means the phone organize all other letters of my alphabet to the # just before a, b, c,...
I would like the option to set my contacts grouping according to my Swedish alphabet maiking my friends visible where I expect them to be. Åsa, Ärling and Örjan today shows up under # - instead of in the end where we organize these letters in Swedish.
The Swedish alphabet ends with X, Y, Z, Å, Ä, Ö. And as a consequence the Cryllic alphabet would be grouped accordingly:
Latin and non-Latin order of items
As for Latin and non-Latin items could be tough. It really depends on which non-Latin items you have, and should be treated with care. A general rule could be to use the Wikipedia help page on Alphabetic order when appropriate. At least it gives you a clue how they could be organized.