I just had a crazy idea but I haven’t tested it yet. As far as I understand from Eliot’s post here, orderby is a query parameter, which would mean that it’s actually reordering items on the query-level, whereas sort_field is a loop filter, meaning that it just reorders the output of a query. If my understanding is correct, sort_field would run after orderby, which might mean that if you had a loop like this, it would start by ordering your events by their start time on the query level and would then sort those posts by their start date, which could give you the two-level post sorting you’re looking for.
<Loop type=events orderby_field=_StartEventTime sort_field=_StartEventDate>
I haven’t tested this so do report back if this works! There are reasons why you’d generally want to use a query parameter instead of a loop filter (as explained in Eliot’s comment that I linked to above) so even if this does work it might not be the best solution in all instances, but I assume it would be more effective than my messy solution above.
Edit: finally got around to testing this, it seems to work as I was expecting, which would make this a much more efficient solution compared to what I suggested above.