Sphinx and Mountain Citadel are both wonderful if you are planning to get your home citadel sieged... Unfortunately, that isn't a very good strategy!
If the other player
knows that he will have a hard time taking your home from you, then it is a different thing altogether. You just need some gem income so that you can do something while under siege. The problem is that in the early game, if you can't recruit your national troops the enemy will eventually take out all your provinces.
I would suggest making the Sphinx always be "on-patrol", or outside the fort, whatever he is doing. You could build your fort around your god, but in the stories and in history Sphinxes were guarding the city, or the pyramids, or whatever. At the moment that is not happening... I don't know how this new ability would be called, but it would add some interesting options to thematically enchance the game... As an example, Druids might be so accustomed to the Nature that they wouldn't even come inside a fort!