Strapi.io graphQL nested sorting

The idea you are going with is correct to sort and it works.
But I think you may just have a typo. Did you try it as plural:
"colors.price:asc".

So in a sample GraphQL query, I tried it and it works:

query{
 products(sort: "colors.asc"){
  id
  name
  colors{
   name
   price
  } 
}
}