I'm very new to all of this, so I'm probably asking the very basics

Using the Command Prompt, I want to combine a number of .txt files, ordered by name. For example:
- 0001.txt
- 0002.txt
- 0003.txt
- 0004.txt
- 0005.txt
I use the following command: Type 0* >> test.log (for my purpose it needs to be a .log file). Ideally, I would get one test.log file with first the content of 0001.txt, followed by 0002.txt, etc.
However, when doing this, it's not first taking 0001.txt, followed by 0002.txt, etc. For some reason it's always starting with 0003.txt.
Why is this the case? Based on which criteria is it taking the 0003.txt instead of 0001.txt? I presume it's because of the content of file 0003.txt? Should I perhaps use a different command?
I hope I made myself clear. Thanks in advance for your help!
Regards,
Bobby