It is not possible on my test instance, but it's a good idea - I opened a suggestion ticket: As a user I would like to sort components by header on the Project>Components page
You may vote and/or comment on the ticket to emphasize your use case.
...It's true that there are projects in Jira; but they are merely a way to cut off issues, to tell them apart from other sections of work and to apply rules that are specific to that team (the schemes)....
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