Are you trying to sort the portal or the report?
Class Name is not a field that exists in SignUp so there should be no way sort a portal to signup by that field and if you did, it would have no affect on the order specified for your report as that is a different sort of sort (pun on purpose).
To sort a portal, you'd need to pull the class name into a field in the signup table and the best way to do this in most cases is to add a calculation field that simply references the name of the class name field in Class. Then you can specify a portal sort order by referring to this calculation field (Make sure that calculation's result type is Text, not number.)
If it's the report, then you need to include the class name field in the sort order of the sort (script step or manual operation) that sorts the records for your report.