How are you converting the values in that column to a clickable link? We use a script to accomplish the same thing, but we've never noticed any issues with sorting the resulting links.
Here's an example of what I mean:
The "Matter Name" column is normally NOT a hyperlink; it's just plain text. We convert it into a clickable URL with a widget script. The script we use is constructing the link using a hardcoded base URL and then dynamically adding the values from the "Primary Key" and "Object Type" columns. So the first row's URL would be something like "[baseURL]/TRAN_692999" while the second row would instead be "[baseURL]/DISP_939420".
As you can see, I'm sorting by the "Matter Name" column and it appears to be sorting as expected: alphabetically ascending by the actual text of the Matter Name itself. It's not sorting by the HTML code or the URL, because it if were, then that first row would've sorted to the bottom (since "[baseURL]/DISP_..." would come before "[baseURL]/TRAN_...").
