thanks for your question.
The same is possible with TablePress, without problems. You would just have to create 26 tables, one for each letter, with one row and three columns each, and fill that with the names, wrapped in the HTML code for a unordered list.
Now, while this is a working solution, I'd actually recommend against this approach. Using a one-row, three-column table for such purposes is not really the semantically correct usage of a table (which is designed to show tabular data, like in a spreadsheet). Instead, I'd recommend to create that three-column layout with a more modern approach, e.g. with the plugin like http://wordpress.org/extend/plugins/grid-columns/
The drawback with that approach might be that everything is then in the content of the page, while the table approach has a single table for each letter, which might be easier to manage in the end.
So, both approaches will work fine, and there's nothing really that you have to be careful about (except maybe with clean HTML code for the lists in the tables).