Right now that isn't possible, but I did have the same idea! You can track this issue for when this ever gets implemented.
But in the mean time, what you can do is set up the filter object before initializing the table:
var alphabetical = {
"A - D" : function(e, n, f, i) { return /^[A-D]/.test(e); },
"E - H" : function(e, n, f, i) { return /^[E-H]/.test(e); },
"I - L" : function(e, n, f, i) { return /^[I-L]/.test(e); },
"M - P" : function(e, n, f, i) { return /^[M-P]/.test(e); },
"Q - T" : function(e, n, f, i) { return /^[Q-T]/.test(e); },
"U - X" : function(e, n, f, i) { return /^[U-X]/.test(e); },
"Y - Z" : function(e, n, f, i) { return /^[Y-Z]/.test(e); }
};
$("table").tablesorter({
widgetOptions : {
filter_functions: {
0 : alphabetical
2 : alphabetical
}
},
// other options
});
And yes, you will have to initialize each table separately until then =(