This is exactly the OrderedDictionary in PowerCollections. It's pretty much identical to SortedDictionary (red black tree with generics) with the addition of the ability to set a start key/end key and scan all values in that range.
SortedDicionary only allows exposes a GetEnumerator() function that starts at the beginning of the collection and only allows a MoveNext() call, so even if you use LINQ there is nothing magic happening: it starts at the beginning and runs your expression on every single node, in order, until it finds those matching your LINQ expression.
OrderedDictionary has a function that gets an enumerator at or before a particular key and that does the lookup in O(log n).
A word of caution though: the enumerator in the PowerCollections OrderedDictionary is implemented using "yield" and the memory usage and enumeration performance is at least O(n^2)... you can change the implementation yourself to make it implement a traditional enumerator and both of these problems go away. I'll submit that patch to Codeplex if I can ever find the time.