SQL Server 2008 :: Remove A Value From Union

I have created a phone list and am using a union to be able to display letter category. However, what I would like to do is only show the letter category if their is an employee with the corresponding last name.

For example, if someone does not have a last name starting with "Z", then "Z" should not show up on my report.

SELECT LastName, FirstName, Dept, Phone
UNION ALL

SELECT v.letter,NULL,NULL,NULL,NULL
FROM (VALUES('A'),('B'),('C'),('D'),('E'),('F'),('G'),('H'),('I'),('J'),('K'),('L'),('M'),('N'),('O'),('P'),('Q'),('R'),('S'),('T'),('U'),('V'),('W'),('X'),('Y'),('Z')) AS v(letter)
ORDER BY vchLastName, vchFirstName