Try this
Option Explicit


Private Sub UserForm_Initialize()
Dim rHeaders As Range
Dim rcl As Range
Dim cColl As Collection
Dim vItm As Variant
Dim i As Long, j As Long
Dim vTemp As Variant
    
    Set cColl = New Collection
    'fill the collection
Set rHeaders = Range(Cells(1, 1), Cells(1, Columns.Count).End(xlToLeft))
For Each rcl In rHeaders
   cColl.Add rcl.Value, rcl.Value
   Next rcl
    'Two loops to bubble sort
   For i = 1 To cColl.Count - 1
        For j = i + 1 To cColl.Count
            If cColl(i) > cColl(j) Then
                'store the lesser item
               vTemp = cColl(j)
                'remove the lesser item
               cColl.Remove j
                're-add the lesser item before the
               'greater Item
               cColl.Add vTemp, vTemp, i
            End If
        Next j
    Next i
    
    'fill combo
    For i = 1 To 4
   For Each vItm In cColl
      Controls("ComboBox" & i).AddItem vItm
    Next vItm
Next i
End Sub