This is just plain cool. I like the way you have the sphinx laid out behind this random dude who's looking at us like he's the shit. And he probably is. I definitely don't know. I like that he's mysterious... Nicely done!
There's no specific story. I was thinking something like this:
A very powerful fairy went to the sphinx one day and wanted entrance to the city she was guarding. When she gave him a riddle and he couldn't solve it, he grew so angry he killed her and made his way in by force.