I am considering $z$-axis as the internuclear axis in all cases.
When we consider overlap of s and p orbital to form a $\sigma$-bond, the chosen orbital must be p$_z$ orbital for a proper overlap.
Now, when we consider two hybridised sp orbitals, their properties are different from s or p orbitals. And I think they can reorient themselves in any direction to form bonds.
Is there any particular direction of this hybrid sp-orbital w.r.t. coordinate axes?
(i) First, take the case of $\ce{BeCl2}$. In the excited state of $\ce{Be}$, there is only one $\ce{e-}$ in the p-orbital. Can any p-orbital participate in hybridisation to form two sp hybridised orbitals?
But these two sp hybridised orbitals must overlap with two p$_z$ orbitals of two $\ce{Cl}$ atoms to form two sp-p$_z$ $\sigma$-bonds.
(ii) Secondly, take the case of $\ce{NO2-}$, in which $\ce{N}$ is sp$^2$ hybridised. In this case, the remaining p-orbital with $\ce{N}$ atom must be a p$_x$ or p$_y$ orbital which will form a $\pi$-bond with p$_x$ or p$_y$ orbital (respectively) of $\ce{O}$ atom. As two p$_z$ orbitals cannot form a $\pi$-bond.
Thus, in the three hybridised sp$^2$ orbitals, one must be a p$_z$ orbital. And one of the half-filled p-orbital of $\ce{O}$ must be a p$_z$ orbital to form sp$^2$-p$_z$ $\sigma$-bond?


$d_{x^2 - y^2}$$d_{x^2 - y^2}$. And that comment is implicitly assuming that there's only one bond under discussion, i.e. a diatomic molecule, which is necessarily linear. As long as you only want to talk about one bond, it's perfectly fine to call that axis $z$. If you want to talk about two bonds at once, you can't call both of them $z$ at the same time. – orthocresol Jul 20 '21 at 17:20