Sand sealer will SEAL the wood. If you apply Sand Sealer first, there won't be 'anything' for the stain to get absorbed into.
If you go to the store and read the can, you'll find this info out. Generally, Sand Sealer is used if you want to seal the NATURAL look of the wood (after which you apply the poly.) Sooo, I do believe you want to skip the Sand Sealer process unless you're going a-natural.