Sorting and proper English WP:SORT reads in part, "[S]ort keys are used to exclude prefixes that are... considered unimportant (such as "The")." The Beatles are sorted as "Beatles", The Rolling Stones are sorted as "Rolling Stones", etc. There is no compelling reason to ignore this convention in this case. Even if the band always insists upon using a non-standard style, this style guide trumps their preference for inclusion in categories at Wikipedia. —❤T☮C☺M☯