Based on this question and on the useful answers, for each theorem environment I create a dedicated enumerate list which I "crefalias" to the theorem. By doing so, when I cleve-refer to a list item, it prepends "Theorem < number >" to the item label (see the code and the picture below).
Everything works just fine, except that when I \Cref multiple items, it sorts them simply by the item counter without considering the theorem counter.
Here is a MWE
\documentclass{article}
\usepackage{amsthm}
\usepackage{enumitem}
\usepackage[colorlinks = true]{hyperref}
\usepackage{cleveref}
\newtheorem{thm}{Theorem}
\Crefname{thm}{Theorem}{Theorems}
% Crete a dedicated enumerate environment
\newlist{enumthm}{enumerate}{1}
\setlist[enumthm]{label=(\roman*),ref=\thethm(\roman*)}
\crefalias{enumthmi}{thm} % alias 'enumthm' counter to thm
\begin{document}
\begin{thm}
This theorem has a list:
\begin{enumthm}
\item First
\item Second\label{Thm:Second}
\end{enumthm}
\end{thm}
\begin{thm}
Also this theorem has a list:
\begin{enumthm}
\item Third\label{Thm:Third}
\item Fourth
\end{enumthm}
\end{thm}
Sorted cleve-referencing: \Cref{{Thm:Second},{Thm:Third}}.
\end{document}
And here is the output:
As you see, Theorem 2(i) precedes Theorem 1(ii) because it considers only the enumerate counters, while I would like it to take the theorem counter into account as well. Is it doable?
Thanks
P.S. Probably a workaround is documented in this answer but in case I don't know to adapt it to my case, and I would prefer a cleaner tex solution rather than a hack.

compressthen would affect globallycleveref, and sorting wouldn't work anyway, right?. Isn't there really a way around? – AndreasT May 09 '16 at 13:46compressoption, but no success. I have a feeling that the cross-referencing use case you've proposed falls into the "feature request" category. You may want to contact the author/maintainer of thecleverefpackage and ask him for a suggestion. He's very responsive to suggestions! For instance, he came up with the\crefstripprefixmacro and added it tocleverefpackage in response to the posting Crossreference in Ref Range ((1a-1e) to (1a-e)). – Mico May 10 '16 at 05:19