If I recall correctly, Burke’s Peerage (dating to the early 1800s) is alphabetized by family name, although I think that within family names it was organized genealogically rather than alphabetically.
(ETA: And Dr. Johnson’s dictionary was of course alphabetical, although that was words and not names.)
While I haven’t looked(and I do think they might be available online), City directories in Great Britain predate the 1785 ones in the US. Whether they alphabetized them rather than just sticking all “A” names in the “A” listing without regard to alphabetizing them name by name, I don’t know.