It is not possible to sort by multiple columns at once. Whenever applying sorting to one column, the sorting of other columns may break.
Often times in order to get a clear overview, it is vital to apply sorting by multiple categories.
E.g. sort everything by Status (ToDo, WIP, Review, Done), but within each group of items still keep Bugs and Tasks separated.
Alternatively, sort all Tasks by Status and separately sort all Bugs by Status.