This is an option, but it requires your institution to turn on a feature at the administrative level before you can sort by first name. Once that is turned on, you should see an additional option in the Settings for the Grades page: https://community.canvaslms.com/t5/Instructor-Guide/How-do-I-view-the-Split-Student-Names-column-in-...
This will then allow you to sort by first name.
If you do not see the setting option in your Grades settings, you will need to talk to whomever handles the administrative rights for Canvas at your institution. The release notes here show the setting they need to turn on to make this work, and some additional details.