select u from UserGroup ug inner join ug.user u 
where ug.group_id = :groupId 
order by u.lastname

As a named query:

@NamedQuery(
  name = "User.findByGroupId",
  query =
    "SELECT u FROM UserGroup ug " +
    "INNER JOIN ug.user u WHERE ug.group_id = :groupId ORDER BY u.lastname"
)

Use paths in the HQL statement, from one entity to the other. See the Hibernate documentation on HQL and joins for details.