Without seeing your workbook I'm going to make some assumptions but I think this should work.
Create a Parameter, we can call it Parameter Sort
Next Create a calculated field, we can call it Sort Calculation
Next, add this Sort Calculation to your rows shelf as the first pill.
Now the Parameter is sorting based upon the column selected. Now the end-user can sort dynamically depending upon which column they would like either ascending or descending.
You can hide the column to clean it up.
I hope this helps.
Parameter Sort Columns.twbx 15.5 KB
I've had the same problem... I'd prefer if Tableau were just able to do this on its own, but great workaround, Brandon. Quick question: You said the end-user can sort ascending or descending? I've used your method and it is working fine, but so far I can only sort ascending by all the fields I'm using. How do I give the end-user the ability to determine which way they want the data sorted?