Not really. As I've been lead to understand by various articles changing rasterizer states, blend states and shaders were to be considered more of a bottleneck (in general) than things like draw order.
If you want correct output, you _must_ draw things in the necessary order, whether it's a bottleneck or not. Some forms of transparency don't need a specific ordering, though. Additive blending, for instance, gives the same results whether you blend A over B over C (where A and B are transparent and C is opaque) or B over A over C. Generally where efficiency matters and you don't want to sort, you _also_ ensure that you are using a blender operation.
I thought about that but then if the instances are scattered about a great deal, wouldn't non-instanced (or other instances for that matter) meshes that are positioned in-between fail to end up where they should in a depth sort?
Ah, I misunderstood, sorry. Yes, in this case, instancing will be an issue. Keep your instancing of translucent objects to small clusters to avoid the likelihood of other translucent objects getting in-between the instances. E.g., a single shattered window may be instanced, but you wouldn't want to instance all windows in the scene together unless they're your only translucent objects. This lets instancing help in the most important cases (lots of little pieces) but lets you use translucency elsewhere.
In general, keep your translucent object count fairly low. You might notice they're rare in games outside of particle systems (which often use only additive blending or transparent cutout). That's because they're slow, especially in complex scenes. In a game, having a smooth experience is more important than having a visually complex one. Even modern game engines focus more on lighting opaque surfaces than on adding lots of translucent objects.
A more advanced technique to allow order-independent translucency would be Depth Peeling, but before considering it read Nicol's answer at https://gamedev.stackexchange.com/questions/26239/how-to-properly-implement-alpha-blending-in-a-complex-3d-scene