I've seen a helical sweep created that mimicked what you want, but the geometry wasn't accurate to the sketch. Basically the sketch was at an angle to the y-axis.
I created a twist like this using a blend feature. However depending on the section, even the blend feature created some irregular cross sections. (never did figure that one out)
The third option I tried was a style feature. Creating the wireframe of the feature was time consuming and some companies don't own ISDX; but it made my geometry, constant / accurate sections and all.
I would suggest using the blend feature. It should have the best chance of working. It is a little more difficult to determine the pitch with a blend feature.
To get the geometry, create enough sections that the minimum rotation between any two sections is 45 degrees. If this is a tight pitch (creates several twists in the cut), don't create more than 1 pitch length (1 revolution) in the blend feature.
Copy the surfaces of the finished blended cut. Transform the surface copy along the y-axis one pitch length. The open ends of the surface transform should touch the bottom edges of the blended cut. Create a cut using the surface transform.
Finally, group and pattern the surface transform and the cut for as many revolutions as you need.
This is a lengthy workaround, but if you try to place all the sections in one blend feature, it will bring Pro/ENGINEER to its knees.
If anyone has a better method, I'd like to learn it.