Sadly not possible from ACF itself.
But with some creative jQuery it is certainly possible;
$('.acf-relationship .selection .values ul.acf-bl.list.values-list').each(function () {
var mylist = $(this);
var listitems = mylist.children('li').get();
listitems.sort(function (a, b) {
return $(a).text().toUpperCase().localeCompare($(b).text().toUpperCase());
})
$.each(listitems, function (idx, itm) {
var txt = $(this).text();
mylist.append(itm);
});
});
Enjoy!