Try
ls | sort -V -d
It returns
Homo_sapiens.GRCh38.dna.chromosome.1.fa.gz
Homo_sapiens.GRCh38.dna.chromosome.9.fa.gz
Homo_sapiens.GRCh38.dna.chromosome.13.fa.gz
Homo_sapiens.GRCh38.dna.chromosome.19.fa.gz
Homo_sapiens.GRCh38.dna.chromosome.X.fa.gz
I tried experimenting with `-V` option because it should natively handle "X" at the end and when you remove the dot before the character where numbering starts, it works. I wonder why though :)
EDIT: The reason why `-V` option does not sort properly is given on GNU Coreutils's website (firstly, it is only dedicated for numbered/indexed versions.
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Cheers