In Drupal 8, when you create a view, you usually create a node(content) view. By default, it doesn't have access to taxonomy content. To activate it, you need to add Taxonomy terms on node relationship from the ADVANCED section of your view. As a result, you now have access to the taxonomy term name.
After this, under the SORT CRITERIA section, the Taxonomy term: Name is now available for you to sort.
Note: If you are also grouping by the taxonomy term name, you should not use the sort option from the Format: Table. Otherwise, your criteria under the SORT CRITERIA section will not work.