Not just English
Why are pronouns when conjugating verbs always given in the same order.
- You Plural
- They (or he's and she's depending on the language)
Does anyone know?
It is the same in all other Indo-European languages I know. The perspective of any human being is with himself in the center: I. In any conversation, which is where language is important, there must be another human being present to whom I speak: you. Then we might discuss someone else: he/she/it.
The second set of pronouns is the same but in plural: I as an individual am a more basic, more important unit to myself than my group, we, which consists of several people. It is only logical to use the same order with plural pronouns as the one that is used with singular pronouns.
In Latin, there is a set of demonstrative pronouns for each of the three perspectives:
Hic = that which is closer to myself than to any of the other persons
Iste = that which is closest to you
Ille = that which closest to him
This is how they were originally used, when pointing to objects in the physical world ("deictically"); but they have acquired different nuances and their meanings have shifted a bit. In English, we only have two of those:
This = that which is closest to me or to you-and-I
That = that which is closest to you or him
Their meanings have shifted a bit as well.
It is a mostly arbitrary convention established by Latin grammarians, and hence employed by scholars of most European languages. I believe that the Arab grammarians listed Arabic verb forms in the order he/she, you, I.
There is a somewhat natural sequence, as others have pointed out; but the order in which that sequence is presented is mostly arbritrary.
Note that the order you are talking about is not part of English: it is part of talking about English. In English we usually put "I/me" last ("you and me", "John and I"), but have no firm order between 2nd and 3rd person.