The sphinx is a creature of Greek myth, taking the form of a winged lion with a human face. In the original myths, she is, like the minotaur and many others, a unique creature, and appears most famously in the story of Oedipus. Confusingly, however, the term was retrospectively employed (possibly by the Greeks themselves) to also refer to the wingless lion-bodied statues of Ancient Egypt. These aren't the same thing as the Greek monster, and it isn't known what the Egyptians actually called them. They were usually, but not always, male and, judging from the statuary, were probably perceived as good and noble beings, unlike the much more hostile Greek creation.
It seems to be the case that, in D&D, the male or "androsphinx" was based largely on the Egyptian creature (albeit with the addition of wings), while the female or "gynosphinx" has closer links with the Greek version.
