OData already allows numeric index segments for ordered collections in the path part of the URL, see ODATA-820.

Allow this also in Path Expressions:

GET Entries?$expand=components($orderby=name))&$orderby=components/0/name

Note: the index in $orderby is evaluated on the implicit server-defined order of the components as $orderby has to be evaluated before $expand. This is somewhat counter-intuitive and could be remedied by further extending the path syntax to e.g.

$orderby=components($orderby=name)/0/name

With that however it would be more "natural" to use a nested $index option instead of an index segment:

$orderby=components($orderby=name;$index=0)/name