I agree with @SNag on this one in that the sort indicator is not, in actuality, an arrow at all, but rather a visual indicator of the way the list is sorted.
To offer further support of this, I present a screenshot from Mac OS 8 (circa 1997) that uses a similar metaphor, but one that is clearly and intentionally differentiated from an arrow:
I find the analogy to less-than (<) and greater-than (>) to be more appropriate than that of an arrow.
In mathematics we write 3 < 6 to represent 3 is less than 6. As I'm sure we all remember the mnemonic device that the small end of the symbol points to the smaller value. Of course if the values were arranged vertically, the smaller end would be at the top:
As such, one might consider using a less-than symbol or chevron turned sideways as a more intuitively understandable symbol to represent the order. It works intuitively for text (abc < xyz), numbers (3 < 6), and dates (today > yesterday).
So in short, try not thinking of it as an arrow pointing in a direction and think of it as a symbol representing order, just like less-than and greater-than.
Update: It turns out, coincidentally enough, that the latest version of Mac OS X actually does use a vertical chevron just like I had suggested. I did not realize this when I originally posted the idea.
So there you have it. There is some precedent after all.