You solve the problem in two ways. Either in Power Query or in Calculated Column. Better to do this in Power Query if your data model is large in size.
in Power Query,
Add Column >> Conditional Column >> Name the column like "Category Index" and set the value as required. 

or to create in Calculated Column

Table View >> Table Tools >> New Columns >>

Category Index=

SWITCH (

    TRUE(),

    Data[Category] = "High", 1,

    Data[Category] = "Medium", 2,

    3

)
now click on the category column, >>  go to sort by column >> selecet the Category Index , column to sort

If this solved your issue,  please Give a Kudo and Mark as Solution. Thank You