Prova qualcosa del genere:group_concat(comments order by id asc separator ' ') as comment
Nota che order by id
dovrebbe essere l'id del commento (quindi i commenti sono ordinati correttamente una volta concatenati).:
SELECT sfo.order_id, sfo.order_number, sfo.item_status, shipping.city, comments.comment
FROM nam_order_items AS sfo
JOIN sales_flat_order_address AS shipping ON shipping.parent_id = sfo.order_id
AND shipping.address_type = 'shipping'
JOIN
(
select
parent_id,
group_concat(concat(created_at, ' - ', comment) order by entity_id asc separator ' ') as comment
from
sales_flat_order_status_history
group by
parent_id
) comments ON
comments.parent_id = sfo.order_id