It is not possible to sort items using a linked field. The internal identifier is used to sort items instead of the actual content of the field.
I think it is a bug.
For example, with Creator as a linked field, this query:
will not produce an alphabetically sorted list of the creator’s names but a list sorted from the first imported item to the last. The first imported item has the smaller ID number so it appears the sorting is using the internal ID number (or the url which is the same).