Unlike the prescribed style guidance of writing that it (normally) be unambiguous and easy to read (in other words, that it avoid awkward-looking constructions), I don't believe there is any such consideration in the back matter of books.
The rule is that if there is an article at the front of a title, it is placed at the end of the title after a comma.
By that, it should be:
Orphans, The First Day: The Blue Sedan, The
It shouldn't matter if it looks odd or not. It's not meant to be read and understood in the same way that a book's narrative should allow a reader to easily parse and comprehend it.
Anybody who knows the rules of alphabetization will know what the title of this book actually is—which is the only important piece of information.