You choose whether to return a nonland permanent and which one to return for Rescuer Sphinx’s ability while it’s entering the battlefield. No player may take actions between the time you choose which permanent to return and the time Rescuer Sphinx is on the battlefield with a +1/+1 counter.

If the returned permanent had an ability that would otherwise have triggered when Rescuer Sphinx enters the battlefield (such as that of Kronch Wrangler), that ability won’t trigger.

If Rescuer Sphinx somehow enters the battlefield at the same time as another permanent, you can’t return that permanent. You may choose only permanents that are already on the battlefield.