You can do this through the view settings in the source list. A List Lookup on Nintex Forms allows you to choose a view in its settings. You can sort the view based on the metadata in the view settings, the List Lookup will display the items in the same order as the view. If your List Lookup looks at a Calendar, by default it will sort the items based on starting time of the event, but you can also add standard list views to a calendar (that are displayed like a list rather than in a calendar layout), and you can sort those standard views the same way you can sort views on any other list.