Is their a way to create a saved search from a custom record and only show these results as a sublist on a transaction such as sales order?

Not exactly a saved search but you can relate a list of custom records on the sales order. You need to include a field on the custom record that relates to the transaction ie the sales order. I had a test one below. You need to tick the record is parent on that field. You must then specify the tab you want it to appear. I had created a custom tab called Bands. Then any custom records with that sales order populated will appear on the bands subtab.