Yes, but it is pretty involved...

Add to functions.php in your theme:

function todo_tax_clauses( $clauses, $wp_query ) {
    global $wpdb;
    $taxonomies = get_taxonomies();
    foreach ($taxonomies as $taxonomy) {
        if ( isset( $wp_query->query['orderby'] ) && $taxonomy == $wp_query->query['orderby'] ) {
            $clauses['join'] .=<<<SQL
LEFT OUTER JOIN {$wpdb->term_relationships} ON {$wpdb->posts}.ID={$wpdb->term_relationships}.object_id
LEFT OUTER JOIN {$wpdb->term_taxonomy} USING (term_taxonomy_id)
LEFT OUTER JOIN {$wpdb->terms} USING (term_id)
SQL;
            $clauses['where'] .= " AND (taxonomy = '{$taxonomy}' OR taxonomy IS NULL)";
            $clauses['groupby'] = "object_id";
            $clauses['orderby'] = "GROUP_CONCAT({$wpdb->terms}.name ORDER BY name ASC) ";
            $clauses['orderby'] .= ( 'ASC' == strtoupper( $wp_query->get('order') ) ) ? 'ASC' : 'DESC';
        }
    }
    return $clauses;
}

    add_filter('posts_clauses', 'orderby_tax_clauses', 10, 2 );

This is frankensteined from some found stuff and some stuff I did myself. Explaining is pretty tough, but the bottom line is with this running, you may put ?orderby=(taxonomy query var)&order=ASC (or DESC) and she'll take right off!

Yes, but it is pretty involved...

Add to functions.php in your theme:

function orderby_tax_clauses( $clauses, $wp_query ) {
    global $wpdb;
    $taxonomies = get_taxonomies();
    foreach ($taxonomies as $taxonomy) {
        if ( isset( $wp_query->query['orderby'] ) && $taxonomy == $wp_query->query['orderby'] ) {
            $clauses['join'] .=<<<SQL
LEFT OUTER JOIN {$wpdb->term_relationships} ON {$wpdb->posts}.ID={$wpdb->term_relationships}.object_id
LEFT OUTER JOIN {$wpdb->term_taxonomy} USING (term_taxonomy_id)
LEFT OUTER JOIN {$wpdb->terms} USING (term_id)
SQL;
            $clauses['where'] .= " AND (taxonomy = '{$taxonomy}' OR taxonomy IS NULL)";
            $clauses['groupby'] = "object_id";
            $clauses['orderby'] = "GROUP_CONCAT({$wpdb->terms}.name ORDER BY name ASC) ";
            $clauses['orderby'] .= ( 'ASC' == strtoupper( $wp_query->get('order') ) ) ? 'ASC' : 'DESC';
        }
    }
    return $clauses;
}

    add_filter('posts_clauses', 'orderby_tax_clauses', 10, 2 );

This is frankensteined from some found stuff and some stuff I did myself. Explaining is pretty tough, but the bottom line is with this running, you may put ?orderby=(taxonomy query var)&order=ASC (or DESC) and she'll take right off!

Yes, but it is pretty involved...

Add to functions.php in your theme:

function orderby_tax_clauses( $clauses, $wp_query ) {
    global $wpdb;
    if ( isset( $wp_query->query['orderby'] ) && 'client' == $wp_query->query['orderby'] ) {
        $clauses['join'] .=<<<SQL
LEFT OUTER JOIN {$wpdb->term_relationships} ON {$wpdb->posts}.ID={$wpdb->term_relationships}.object_id
LEFT OUTER JOIN {$wpdb->term_taxonomy} USING (term_taxonomy_id)
LEFT OUTER JOIN {$wpdb->terms} USING (term_id)
SQL;
        $clauses['where'] .= " AND (taxonomy = 'client' OR taxonomy IS NULL)";
        $clauses['groupby'] = "object_id";
        $clauses['orderby'] = "GROUP_CONCAT({$wpdb->terms}.name ORDER BY name ASC) ";
        $clauses['orderby'] .= ( 'ASC' == strtoupper( $wp_query->get('order') ) ) ? 'ASC' : 'DESC';
    } elseif ( isset( $wp_query->query['orderby'] ) && 'job_category' == $wp_query->query['orderby'] ) {
        $clauses['join'] .=<<<SQL
LEFT OUTER JOIN {$wpdb->term_relationships} ON {$wpdb->posts}.ID={$wpdb->term_relationships}.object_id
LEFT OUTER JOIN {$wpdb->term_taxonomy} USING (term_taxonomy_id)
LEFT OUTER JOIN {$wpdb->terms} USING (term_id)
SQL;
        $clauses['where'] .= " AND (taxonomy = 'job_category' OR taxonomy IS NULL)";
        $clauses['groupby'] = "object_id";
        $clauses['orderby'] = "GROUP_CONCAT({$wpdb->terms}.name ORDER BY name ASC) ";
        $clauses['orderby'] .= ( 'ASC' == strtoupper( $wp_query->get('order') ) ) ? 'ASC' : 'DESC';
    }
    return $clauses;
}
add_filter('posts_clauses', 'orderby_tax_clauses', 10, 2 );

This is frankensteined from some found stuff and some stuff I did myself. Explaining is pretty tough, but the bottom line is with this running, you may put ?orderby=(taxonomy query var)&order=ASC (or DESC) and she'll take right off!

EDIT: Wait on using this, I'm working on it, it's specific to one taxonomy (client, at the moment, I'll get it going in a minute)

Yes, but it is pretty involved...

Add to functions.php in your theme:

function todo_tax_clauses( $clauses, $wp_query ) {
    global $wpdb;
    $taxonomies = get_taxonomies();
    foreach ($taxonomies as $taxonomy) {
        if ( isset( $wp_query->query['orderby'] ) && $taxonomy == $wp_query->query['orderby'] ) {
            $clauses['join'] .=<<<SQL
LEFT OUTER JOIN {$wpdb->term_relationships} ON {$wpdb->posts}.ID={$wpdb->term_relationships}.object_id
LEFT OUTER JOIN {$wpdb->term_taxonomy} USING (term_taxonomy_id)
LEFT OUTER JOIN {$wpdb->terms} USING (term_id)
SQL;
            $clauses['where'] .= " AND (taxonomy = '{$taxonomy}' OR taxonomy IS NULL)";
            $clauses['groupby'] = "object_id";
            $clauses['orderby'] = "GROUP_CONCAT({$wpdb->terms}.name ORDER BY name ASC) ";
            $clauses['orderby'] .= ( 'ASC' == strtoupper( $wp_query->get('order') ) ) ? 'ASC' : 'DESC';
        }
    }
    return $clauses;
} 

    add_filter('posts_clauses', 'orderby_tax_clauses', 10, 2 );

This is frankensteined from some found stuff and some stuff I did myself. Explaining is pretty tough, but the bottom line is with this running, you may put ?orderby=(taxonomy query var)&order=ASC (or DESC) and she'll take right off!