I can see the connection as anybody else can. The question has been prompted by the famous Great Sphinx of Giza because of the name “Sphinx” which is not dissimilar to the name of this hairless cat. That’s as far as the connection goes. I’ve never seen this said except on this website, namely that it appears that the name of this hairless cat i.e. the Sphynx has been taken from the name of the Great Sphinx of Giza. Breeders do like to come up with an interesting name for their breed.
The Sphynx cat is hairless because of the inheritance of a mutated recessive gene. The first Sphynx cat in the current line was discovered in Toronto, Canada in 1966 although there have been other discoveries in different places. For example, in 1830 in Latin America and in England, Australia, USA and Russia there have been hairless cats caused by a genetic mutation. For example, there was Dick and Nellie, a couple of Mexican hairless cats of 1902. They were valued at $1000 each at that time which equates to $20,000 today. They were exceptionally rare, perhaps unique, hence their value. You can read a lot more about the breed and its history by clicking this link.
I’m digressing, though, because this is not about the value of these historical hairless cats but their origin. These sort of genetic mutations take place anywhere at any time and it just so happens that the current American variant of the Sphynx cat was developed from the Canadian hairless cat mentioned above. But it could have been any other mutated cat. Perhaps the Canadian hairless cat was chosen because in the 1960s there was a desire among North American breeders to create new cat breeds. The great era of creation of new domestic cat breeds was in the middle of the 1900s. That era has faded and a lot of people will now argue that there are enough cat breeds perhaps too many. It is difficult to create new ones because it is difficult to distinguish one from the other.
In conclusion, therefore, the Sphynx cat does not come from Egypt but from Canada with respect to the American variant and Russia has their own Sphynx cat called the Don Sphynx.