Afaik all these little Android devices have enough CPU and RAM for Tor, so presumably Orbot should work fine too (previously). It's pretty important they be rootable. You'd need to tweak Orbot to share the SOCKS port over USB. Anything else?
Disclaimer: I'm not an expert.
Everything should check out just fine. My understanding is that Orbot just opens a SOCKS5 proxy on whatever device it's on. If your phone can do connection sharing, running your traffic through the SOCKS port should do the trick.
I should point out that if your intention is to make a cheap, small Tor proxy device, the Raspberry Pi works better. Heck, Adafruit even has a kit, albeit a little pricier than what's needed.
May be it is a far late answer, but for others it may be useful. Actually it is possible. You can start TOR binary in android with custom torrc file. In torrc, you can configure an Android device to be acted as a TOR user.
You can check my library for Android named TorAndroid with custom torrc lines:
TorBuilder.setExtra(EXTRA_LINE) for adding custom lines separated by