Melt 1tablespoon of butter in a small saucepan and cook the onion until wilted. Sprinkle with paprika, flour, and thyme, stirring. Stir in the chicken stock, using a wire whisk, and simmer about 3 minutes.
Add the cream and bring to the boil. Add the lemon juice, salt, pepper, and Cognac. Strain the sauce through a sieve. Return to the heat and stir in the remaining butter and the sour cream. Bring just to the boil, but do not boil.