The recommended idiom to sort lists of values using expensive-to-compute keys is to the so-called "decorated pattern". It consists simply in building a list of (key, value) tuples from the original list, and sort that list. Then it is trivial to eliminate the keys and get the list of sorted values:
>>> original_list = ['a', 'b', 'A', 'B']
>>> decorated = [(s.lower(), s) for s in original_list]
>>> decorated.sort()
>>> sorted_list = [s[1] for s in decorated]
>>> sorted_list
['A', 'a', 'B', 'b']
Or if you like one-liners:
>>> sorted_list = [s[1] for s in sorted((s.lower(), s) for s in original_list)]
>>> sorted_list
['A', 'a', 'B', 'b']
If you really worry about the cost of calling lower(), you can just store tuples of (lowered string, original string) everywhere. Tuples are the cheapest kind of containers in Python, they are also hashable so they can be used as dictionary keys, set members, etc.