"El" means "the". Therefore the city of El Paso should be regarded as beginning with "P",since definite articles are generally not included in indexes. Same would apply, for example, to Los Angeles, El Salvador, The Netherlands, Le Havre, etc.
"El" and "Los" actually make part of the city name, not like "The" Netherlands, "the" is not a part of its name, so it would be included in "Countries that start with N", but "El" Paso makes part of the actual name, also it's easier to remember as El Paso than remembering as Paso.