Thanks for your help!
I used this code and it works fine:
SELECT um2.user_id, um2.meta_value, um3.meta_value
FROM $wpdb->usermeta um1
LEFT JOIN $wpdb->usermeta um2 ON um1.user_id = um2.user_id
LEFT JOIN $wpdb->usermeta um3 ON um1.user_id = um3.user_id
WHERE um1.meta_key = '$Role'
AND um1.meta_value = 'on'
AND um2.meta_key = 'last_name'
AND um3.meta_key = 'first_name'
ORDER BY um2.meta_value, um3.meta_value ASC
LIMIT 0 , 30
