$dataProvider->setSort([

    'attributes' => [
        /* 其它字段不要动 */    
        /*  下面这段是加入的 */
        /*=============*/
        'customer_name' => [
            'asc' => ['customer.customer_name' => SORT_ASC],
            'desc' => ['customer.customer_name' => SORT_DESC],
            'label' => 'Customer Name'
        ],
        /*=============*/
    ]
]); 

这个label干嘛用的
'label' => 'Customer Name'