If you look at Wikipedia's entry for カタカナ, you can see a chart of the kanji that katakana are thought to be derived from:
The katakana ヲ is thought to come from the first three strokes of 乎, so if you try writing those first three strokes quickly, maybe you can imagine how the character came about. Here's the stroke order for 乎:
As you can see, the stroke order is roughly the same as for ヲ, except the strokes go in different directions, and the last two strokes are missing.
Although this is the traditional stroke order for ヲ, there are people who write it the other way too, so unless you're taking a test or using handwriting recognition software that is sensitive to stroke order, you can probably get away with writing it however you're most comfortable.
That said, I'd recommend sticking to the usual stroke order for most characters if you can manage it. Being consistent helps your memory, and learning the way people usually write characters helps with understanding both beautiful cursive writing and quick sloppy writing.