Does it cost more to counter Sphinx of New Prahv?
No, Sphinx of New Prahv's ability only works while it's on the battlefield. Spells that counter other spells can only target objects on the stack, where the Sphinx's ability would not work.

While the Sphinx is a spell and could be countered, it's on the stack. 


  111.1. A spell is a card on the stack. [..]


Abilities of permanent cards such as creatures generally only function while that card is a permanent on the battlefield. There are exceptions, but none apply here. 


  112.6. Abilities of an instant or sorcery spell usually function only while that object is on the stack. Abilities of all other objects usually function only while that object is on the battlefield. The exceptions are as follows: