Are you using Apple's Photos app to create the slideshow?
Not sure how you're grabbing the photos for your slideshow, but I'd first create an album in Photos that contains the slides you want to use. If they are in chrono order within the album, select them all and create your slideshow there to make sure the order of presentation is correct. You may need to adjust the date and timestamp of photos that appear out of order.
Now try exporting the slideshow to your desktop first. Once the slideshow is exported, it should become a slideshowname.m4v video file which should set the order of the slides.
Then copy that slideshowname.m4v file to your SD card and see if that works.