There’s currently no way to do this in the choice list editor, though it has been requested and is something we’d like to implement!
In the meantime, you can keep a list values in a table, sort alphabetically, they copy and paste the list into the cell editor. Ctrl+a to select all, and paste to replace all values in the editor in the correct order.
Two quick questions:
- Is the order of choices within the cell also important in your document?
- What type of data are you storing in the choice list? I’m interested in learning about choice lists that are very long to think through how we can be more helpful.
By the way, if you’re using choice lists to enforce unique values over a very large data set, such as names, there’s a better way to do this with a “IsDup?” column, as explained in this thread: Ensure unique values or detect duplicates
This may not be your use case, but may be helpful to anyone else reading this. 
Setting a column config that enforces unique values is also on our roadmap.