It depends on your class.

You can buy all non elite skills from ember light camp (after Thunderhead) and you can cap lots of useful elites (Healing Hands, Echo, Charge etc), some of which are useful for Sorrow's Furnace.

I would suggest you at least cap some elites at Perdition rock first. However, if you are keen to go for green first, or you already have the best Green farming elites for your class (i.e. Gladiator's Defence for a tank is only found in Glint's home) then go straight there.

There is no set path, especially once you have the skills to fill out your preferred build.