Ken, in order for that to work in Slideshow, you have to be able to enable User Sort order in Library. The principle criterion for that, is that the current view, that is, folders or collections, has to be a bottom level folder. If the current view has subfolders in some way, 'no go' on the User Sort.
Look at your selection in Library Grid Mode. If 'User Sort' is available on the toolbar, you're good to go. (You don't actually have to choose it). If you don't see it available, (it should also show greyed out on the main menu at top) then there's some sort of procedural thing like subfolders holding you back.
Edit: (Oops, I see Denis already recommended this paragraph in a simul-post)
The best way to approach this is to create a dedicated Collection for the particular slideshow selection, and work from there. As a bonus, the collection will 'remember' your slideshow settings, next time you view it.
