The following code:

shotgun.find(
    "Version",
    order=[{"field_name": "playlists.PlaylistVersionConnection.sg_sort_order", "direction": "asc"}],
)

Results in the following error:

shotgun_api3.shotgun.Fault: API read() CRUD ERROR #10: Read failed for entity type [Version]

This is probably an issue on the server side rather than the python api client, but I would expect to be able to sort by the Playlists > Sort Order field though the API in the same way you can through the UI.