SQL ORDER BY con CASE con UNION ALL

Pon todo en otro SELECT:

SELECT * FROM (
  SELECT "Field1" AS field_1, "Field2" AS field_2,
  "Field3" AS field_3, "Field4" AS field_4
  FROM "TableName" 
  WHERE condition
  AND other_condition
  UNION ALL
  SELECT "Field1" AS field_1, "Field2" AS field_2,
  "Field3" AS field_3, "Field4" AS field_4
  FROM "TableName" 
  WHERE yet_another_condition
  AND yet_another_other_condition
) As A
ORDER BY CASE field_1
    WHEN 'A' THEN 1
    WHEN 'B' THEN 2
    WHEN 'C' THEN 3
    ELSE 4
END

o, mejor, use el alias en ORDER BY, ya que se pasa al final de UNION:

  SELECT "Field1" AS field_1, "Field2" AS field_2,
  "Field3" AS field_3, "Field4" AS field_4
  FROM "TableName" 
  WHERE condition
  AND other_condition
  UNION ALL
  SELECT "Field1" AS field_1, "Field2" AS field_2,
  "Field3" AS field_3, "Field4" AS field_4
  FROM "TableName" 
  WHERE yet_another_condition
  AND yet_another_other_condition
  ORDER BY CASE field_1
    WHEN 'A' THEN 1
    WHEN 'B' THEN 2
    WHEN 'C' THEN 3
    ELSE 4
  END