You can use template filter dictsort https://docs.djangoproject.com/en/dev/ref/templates/builtins/#std:templatefilter-dictsort
This should work:
{% for event in eventsCollection %}
{{ event.location }}
{% for attendee in event.attendee_set.all|dictsort:"last_name" %}
{{ attendee.first_name }} {{ attendee.last_name }}
{% endfor %}
{% endfor %}