Since I am a new user I am not sure if there is already a way to customize sort order in Alteryx. In Excel it is possible to use a saved list to define a sort order.
One example is where the sort function uses the labels for months of the year. Instead of ALPHA ORDER in the ouput you might want to see the MONTH ORDER.
Excel supports an alternative sort order through the use of custom lists. Some custom lists are provided with the software and users can add their own custom lists.
The Excel interface for sorting using custom lists looks like this: