IIRC, the Governor can threaten until he turns blue in the face.
The Sheriffs are directly elected by the people of their respective counties, and I do not believe the Governor has the authority to fire them.
Besides, if he did, it would look like he was attempting to install his own police force accountable to him, and not the people, which reeks of the NKVD, KGB, Kempeitai, or CHEKA, which are not only bad optics, but cause for a recall/impeachment.