Queries that sort worktables (merge joins and order by, distinct, union, and reformatting) first copy the needed columns for the query into the worktable and then perform the sort. These worktables are stored on the system segment in tempdb, so this is the target segment for queries that require sorts. To see the space available and the number of devices, use:
tempdb..sp_helpsegment system
The process of inserting the rows into the worktable and the parallel sort do not require multiple devices to operate in parallel. However, performance improves when the system segment in tempdb spans multiple database devices.