Please bear in mind that there is no guaranteed ORDER BY in any RDBMS.

Consider adding an ORDER BY (outside the OPENQUERY function) on the data source column equivalent of your clustered index, if at all possible

e.g.

INSERT MyLocalTable (Col1, Col2, Col3)

SELECT Col1, Col2, Col3 FROM OPENQUERY(MyLinkedServer,'SELECT Col1,Col2,Col3 FROM RemoteTable') ORDER BY Col1