I had the same problem. I had to export a large number of invoices, sorted by number.

I was not able doing that from UI.

I had to patch the file addons/web/main.py, class ExportFormat, method base(), from

    records = Model.browse(ids) or Model.search(domain, offset=0, limit=False, order=False)

to

    if ids:

            ids=sorted(ids)

    records = Model.browse(ids) or Model.search(domain, offset=0, limit=False, order="id asc")

Instead of "id asc" you may try "number asc" or "name asc".

Of course this patch impacts on all exports not only invoices

I had a similar problem where I was exporting journal entries together with journal items. I first sorted the data on the screen by date. However, when I exported the sort was not applied. Since there were several rows with fields without any data (parent/child record), it was impossible to sort it on excel. 

To overcome the problem, I used group by date and number. When I did this, the resulting excel showed me data sorted on both fields.

I hope it helps.

The most accurate field to sort data is Database ID field. You can select to export all data to be able add it to the exported fields. So, you will be able to sort data using this column.