It is not possible to do a custom sort on a dimension, when the chart contains data from 2 or more models which are linked together.
It is possible to do different sorts on dimension members in a chart when only one model is used in the widget:
In the "Add Custom Order" - You are able to sort your Dimension members as you like
But when you have linked 2 models, you are no longer able to add a custom sort order.
The solution is to think ahead. With only one model in the widget, you Create a Custom sort, and name it so you can remember it.
Once the custom sort order is created, you link the models on the dimensions you wish, and create the look of the widget that you wish, and then you can actually select the custom sort, that you created before you linked the models in you widget.
So even though the custom sorting is not working out of the box in SAP Analytics Cloud, you are able to use the functionality if you ensure to do the steps in correct order:
Create the widget and add 1 model to the widget
Add a measure and the dimension you wish to show (and later sort on)
Create a Custom Sort on the Dimension, and give it a proper name
Link the model(s) you wish to the existing model in your widget
Now you can re-use the previous created custom sort in your widget