Multi-Sorting feature is a nice feature, but it is not yet exist in jqGrid. On the main page you can vote for “Sort by multiple columns“. Recently I wrote the answer http://stackoverflow.com/questions/3632526/how-can-i-add-multi-column-sorting-to-jqgrid. If it was not your question the information could be probably interesting for you, but it contain no solution.
Probably if Tony look at your question he will answer when the feature could be implemented.