This is a widget I built, which leverages a built-in Mendix widget to create the dropdown. It looks like there is an option for sorting there, so it's possible to add it to the widget. I've created an issue on the GitHub repository; can't promise a quick update but anyone is welcome to send me a pull request.
UPDATE: this option has been added to the widget. It's not in the app store yet, so you'll need to download the MPK from GitHub and drop into your project's widgets folder.