As far as I know, there isn't, which that would be nice.
My guess as to why it doesn't is because it doesn't know what kind of file it is importing from (Ex. FileMaker, Excel) and that a preview of what is in the records can be browsed in that screen (and therefore wouldn't be in the sort [alphabetical] order anymore).
Find the records you want. Sort. Export to a merge file. unsort Import from the merge file.