Actually there's nothing about UNION here. It's true for any column alias:
::***> select 'a-c' AS x ORDER BY x COLLATE "C" ;
ERROR: 42703: column "x" does not exist
LINE 2: select 'a-c' AS x ORDER BY x COLLATE "C" ;
^
LOCATION: errorMissingColumn, parse_relation.c:2892
Time: 0.204 ms
Also you don't need WITH, just an old-fashioned inline view:
::***> select * from (select 'a-c'::text AS x) as subquery ORDER BY x
COLLATE "C" ;
┌─────┐
│ x │
├─────┤
│ a-c │
└─────┘
(1 row)