Out of the box I don't believe it is supported no.
But if you are happy to have a constant alphabet across the top then you could just pass query string variables that would be picked up by Data Assist Search to filter the content.
i.e.
A | B | C | D | E | F
Where the link on A would be url?filter=A for example.
There are probably many different ways of doing it, but this seems like the easiest.