The only way to refer to the alias is to rewrite the statement as a subquery or a common table expression. It's probably easier to write it like this:
SELECT FirstName + ' ' + MiddleName + ' ' + LastName AS
WHERE FirstName + MiddleName + LastName IS NOT NULL
ORDER BY LastNameSince the empty strings '' are constants you don't need to include them in the WHERE condition to check for NULLs.