How to add null check in delegate?

How to add null check on transform a,b?

  // sort radar list
        if (enemyOnRadar.Count != 0)
        {
            enemyOnRadar.Sort(delegate (Transform a, Transform b)
            {
                return ((this.transform.position - a.position).sqrMagnitude.CompareTo((this.transform.position - b.position).sqrMagnitude));
            });
        }
if (enemyOnRadar.Count != 0)
        {
            enemyOnRadar.Sort(delegate (Transform a, Transform b)
            {
                if (a == null || b == null) return 0;
                return ((this.transform.position - a.position).sqrMagnitude.CompareTo((this.transform.position - b.position).sqrMagnitude));
            });
        }

?

Note that actually null checks are an expensive operation, due to how UnityEngine.Object implements an override of the == / != operator.
So I suggest pre-emptively either not adding object to the list, or pruning it out.

How about put this on the top? Is it better?

        foreach (Transform e in enemyOnRadar)
            if (e == null)
                enemyOnRadar.Remove(e);

You can’t modify collection you’re iterating on using foreach, use for instead.

It up to you to decide. You shouldn’t have null there in the first place.
If you’re destroying something - remove it from the collection.