Sure, this can be done.
I'd suggest the following different approach though:
cat >/etc/modprobe.d/05-sg.conf <<EOF
softdep scsi_mod post: sg
EOF
As opposed to force-loading the module, it has the advantage not to load sg if
really no SCSI modules are required. dracut resolves the dependency just fine,
it runs "modprobe --ignore-install --show-depends" on hostonly modules, which
will list sg for any module that requires scsi_mod with the above rule in
place. Thus sg will be included in the initrd, and loaded before any other SCSI
driver.
> $ modprobe --ignore-install --show-depends sd_mod
> insmod /lib/modules/4.4.92-6.18-default/kernel/drivers/scsi/scsi_mod.ko
> insmod /lib/modules/4.4.92-6.18-default/kernel/drivers/scsi/scsi_mod.ko
> insmod /lib/modules/4.4.92-6.18-default/kernel/drivers/scsi/sg.ko
> insmod /lib/modules/4.4.92-6.18-default/kernel/drivers/scsi/sd_mod.ko
OK?