Sorting is already creating new lists in memory, regardless of squaring each value. Compared to the sorted operation, squaring each value is negligible and neither increases the time or space complexity.

And generally speaking, optimizations where you can return early don't decrease the time complexity in the average case so aren't really used as a way to judge algorithms in problems like this.

In many situations it is considered Pythonic to not use if statements to check things but instead to just try it and catch on failure.