Hi Max, the order and orderby should be outside of relationship param, as they're arguments for WP_Query. Please try:
$connected = new WP_Query( array(
'relationship' => array(
'id' => 'therapists_to_modalities',
'to' => get_the_ID(),
),
'orderby' => 'name',
'order' => 'ASC',
'nopaging' => true,
) );
