Where are you seeing this? I am looking at my calendar right now and if I am in Month mode, I start on Sunday, The only other options I have are Day and List- and they aren't dependent on the start of the week.
I am also looking at my calendar now and it's start with Monday?! Couldn't find anywhere in setting to change this but if you are saying yours starts with Sunday, it might be something to do with the OS version?!
Possibly... I'm on iOS4.3.3, but my calendar has Always looked like this. I checked in settings and I don't see anything as an option to change the week start day.
This might be a stupid question, but are you sure you are looking at the native calendar app, and not some third party softwate?
Do you actively sync your calendar with something? Like I can setup my Gmail account to actively sync (exchange setup) to my Gmail calendar (Also, MobileMe does this as well). If you are, then you may want to check with the settings in whatever you sync to.
Here you go: https://discussions.apple.com/thread/2683737 Go to Settings>General>International, and make sure that you have the appropriate "Region Format," and "Calendar" settings. Change your region format to United States. Calendar format should be Gregorian.