The following answer assumes that you know the working of Dijkstra's algorithm. Here, we are working with a variant of Dijkstra's algorithm as mentioned in the question. Hope it will be helpful.
Suppose $s$ is the source vertex and $v$ be any vertex in $V$.
Statement: Dijkstra's algorithm outputs the lexicographically smallest path from $s$ to $v$ if all the edge weights in the graph are positive and distinct.
Proof: Suppose $p = (s,u_{1},\dotsc,u_{q},v)$ is the lexicographically smallest path from $s$ to $v$. For the sake of contradiction, assume that the algorithm outputs $p' = (s,w_{1},\dotsc,w_{r},v)$ and $p' \neq p$. Let $(w_{i},w_{i+1})$ be an edge in $p'$ that act as a tie breaker when we compare the orderings of $p$ and $p'$. In other words, every edges in $p'$ that has the higher weight than the weight of $(w_{i},w_{i+1})$ does also appears in $p$. Let $E_{h}$ be the set of edges in $p'$ that have weight higher than the weight of $(w_{i},w_{i+1})$.
Claim: There is an edge $e$ in $p$ such that $e \notin E_{h}$ and $weight(e) > weight(w_{i},w_{i+1})$.
Proof: I will assume that you are familiar with the fact that the algorithm maintains a cut $(S, V \setminus S)$ such that all the vertices in $S$ are declared visited and the shortest path to them has been found. Now, suppose that just before the algorithm adds $(w_{i},w_{i+1})$, the cut is $(S_{i}, V \setminus S_{i})$. It implies that for all $j \leq i$, $w_{j} \in S_{i}$ and for all $j > i$, $w_{j} \in V \setminus S_{i}$. Also, $s \in S_{}$ and $v \in V \setminus S_{i}$. Now, consider path $p$. Since $p$ is a path from $s$ to $v$, there is an edge $e$ in $p$ that is also present in the cut $(S_{i}, V \setminus S_{i})$. Firstly, we will show that $e$ does not belongs to $p'$. For the sake of contradiction assume that $e$ also belongs to $p'$. Therefore, let us define $e$ to $(w_{t},w_{t+1}) \in p'$.
Case $1$: $e$ appears before $(w_{i},w_{i+1})$ in the path sequence
$p'$. It means $w_{t}$ and $w_{t+1}$ belongs to $S_{i}$. It
contradicts that $(w_{t},w_{t+1})$ belongs to the cut $(S_{i},V \setminus S_{i})$.
Case $2$: $e$ appears after $(w_{i},w_{i+1})$ in the path sequence
$p'$. Let $(S_{t-1},V \setminus S_{t-1})$ be the cut just before
$(w_{t-1},w_{t})$ was added to the solution. We know that $w_{t-1} \in S_{t-1}$ and also $w_{t} \in S_{i} \subset S_{t-1}$. Therefore, it
contradicts that $(w_{t-1},w_{t})$ belongs to the cut
$(S_{t-1},V\setminus S_{t-1})$.
From the above two cases, we can say that $e \notin p'$ and therefore $e \notin E_{h}$.
Also, note that the edges $e$ and $(w_{i},w_{i+1})$ both belongs to the cut $(S_{i},V \setminus S_{i})$, and the algorithm chooses $(w_{i},w_{i+1})$ over $e$. Therefore, the weight of $e$ is greater than the weight of $(w_{i},w_{i+1})$. This
proves the claim.
The above claim implies that $p'$ is lexicographically smaller than $p$. Therefore $p = p'$. It contradicts our initial assumtion that $p \neq p'$. Hence proved.
