It's not hard to write an on-disk merge sort using Python... it just may not be that fast.
But really, as I'm sure you know, for genome-scale datasets, the key word is streaming. Disk IO is a major bottleneck. If you're using a large genomic dataset, you shouldn't be sorting your results in text format anyway... it would take way too much time and temporary disk space. What you'd probably want is a row filter to extract out the rows of interest. Or, you'd be calculating some other kind of non-trivial summary statistics. In both of these cases, you'd need to use some kind of custom program. But you'd still should be operating on the stream, not the entire dataset.
(Of the top of my head I can think of only a few instances where you'd need to operate on a column as opposed to a row in genome data - multiple testing correction being the main one)
If you need to sort by two columns, yes, by all means use "sort". It's about as fast as you are going to get. But for "exploratory analysis" on genomic data, you'd better have a really good reason (or small dataset) to use these tools.