I frequently get asked this question when I teach this short story. So far, my students and I have come up with two reasons:
1. The Misfit kills the grandmother last to make her death more painful (at least to the reader). The grandmother has to endure listening to the other five members of her family get shot in closer range (even though, in her selfish attitude, she doesn't seem to care much). O'Connor may have done that to evoke pity for the grandmother.
2. The other reason the Misfit may have killed the grandmother last is for suspense and plot purposes. The Misfit exchanges a lot of information with the grandmother. If the grandmother were killed first, this wouldn't have happened. The grandmother is also a more prominent figure in the story, so it wouldn't have made sense for the Misfit to have the conversation with, say, Bailey or one of the children. Also, leaving the grandmother alive until the very end gives the reader the hope that the Misfit may redeem himself--he can be "redeemed" if he just takes the grandmother up on her offer of being "a good man". It gets to the point where the reader may almost believe that the Mist fit won't kill her, but then he suddenly shoots her in her head. Most of my students come in the next day with strong reactions to that ending--probably what O'Connor was looking for.