Views table columns not sortable
Categories or Paragraphs are just references when you create a node view.
Thus when you use them in the fields (as output) they are not sortable but you can add a relationship to them and then their individual fields (like name, id etc) become sortable 

Here is an example with tags (on article content type)

Added term relationship Taxonomy terms on node and then tag id and tag name are sortable (among others)

 



ΝΟΤΕ: you will most certainly end up with duplicate results in the view. For this you can use aggregation, "Group results together" with group column "entity id".