Puzzles like this are the kind that make my brain perk up — tiny, precise, and a bit cheeky. If a crossword clue reads "letter after sigma" and it's asking you to follow the Greek alphabet order, the next letter is tau. In the classical ordering, sigma is the 18th letter and tau is the 19th: alpha, beta, gamma, delta, epsilon, zeta, eta, theta, iota, kappa, lambda, mu, nu, xi, omicron, pi, rho, sigma, tau, upsilon, phi, chi, psi, omega. So when you slot this into a puzzle, you normally fill in TAU (three letters) rather than a single Latin character.
Crossword setters sometimes enjoy little gotchas, though. They might clue 'letter after sigma' simply as the sound or transliteration — so you could see clues that lead to "T" in a cryptic context if the puzzle allows single-letter entries, but most mainstream crosswords expect a word-length fill, which makes TAU the natural fit. Also worth noting: Greek has a special final-form for sigma (ς) used at the end of words, but that doesn't create a separate alphabet position — it's still sigma, so the sequence doesn't change because of that typographic variant.
If you're solving and the enumerations or crossing letters don't line up, consider whether the puzzle is using a theme or an alternative alphabet (ancient letters like qoppa or san show up rarely), or if the setter intended a punny misdirection. For straightforward, non-themed grids, though, following Greek order yields TAU and that's usually the green light. Personally I love that these little bits of classical knowledge sneak into modern puzzles — it's like a wink from the setter, and filling TAU properly always feels satisfying.