In the
first place it can be called Lobster Newberg, Lobster 
Newburg
or Lobster a la Newberg or a la Newburg. All of them are correct
(more or less). In fact, it is also called Lobster a la Delmonico.
Furthermore, there were chefs from the various Delmonico's Restaurants
that were popular in New York in the nineteenth century who claimed to
have invented and/or improved the recipe.
Nevertheless, there is a story that is usually accepted as the authentic origin of the dish. It concerns a commercial ship's captain named Ben Wenberg who frequented the Delmonico's restaurant in the latter part of the nineteenth century. Having sailed the West Indies he returned to New York in 1876 with a recipe he enjoyed featuring lobster. One evening at Delmonico's he called for a chafing dish and demonstrated this "new" way of serving lobster to Delmonico's Chef Charles Ranhofer. Fellow patrons of the restaurant agreed that it was delicious and Delmonico's soon put it on the menu, naming it "Lobster a la Wenberg."
Alas, not long afterward there was some sort of altercation at the restaurant and Ben Wenberg was no longer welcome there. The dish was taken off the menu but gourmands continued to request it, so Delmonico's altered the spelling calling it "Lobster a la Newberg." For one reason or another it eventually became known also as Lobster Newburg and is sometimes called Lobster a la Delmonico.
The
distinctive ingredients of the sauce are butter, cream, eggs and sherry
or Madeira wine as well as a sprinkling of paprika or cayenne pepper.
The finished dish is served either atop toast points or steamed rice or
in delightfully crisp individual portions of puff pastry (patty shells).
Although there are several variations of the recipe online, including the substitution of shrimp, scallops or crab for the lobster, I prefer a version found in the 1950 edition of The Gourmet Cookbook for a chafing dish recipe, as follows:
LOBSTER NEWBERG
Serves 6
Cook 3 lobsters
weighing 1 1/2 pounds each in boiling salted water for 20 minutes.
Remove the meat from the shells, cut it into 1/2 inch slices and refrigerate
until wanted.
Melt 4 tablespoons
butter in the top pan of a chafing dish. Add the lobster meat and
saute it over the direct flame until the outside membrane becomes bright
red. Sprinkle with 1/2 tablespoon of paprika, add 1/2 cup sherry
or Madeira, and cook until the wine is almost completely cooked away.
Place the pan over the hot water pan, add 1 1/2 cups cream blended with
4 unbeaten egg yolks, and stir gently until the sauce is thickened.
Add 1 tablespoon cognac. Turn the lamp low and keep hot over the
hot water pan. Serve on freshly made toast with a touch of lobster
coral or paprika.
As an alternative you might want to try
SIMPLE LOBSTER NEWBERG
Serves 2
6 Tablespoons butter
3 cups cooked lobster
meat, cubed
1/4 teaspoon paprika
1/2 teaspoon salt
2 Tablespoons sherry
wine
6 egg yolks
1 1/2 cups light
cream
Melt butter over
low heat, add lobster and cook for 3 minutes.
Add seasonings
and wine. Beat egg yolks, add cream and mix together well.
Add cream mixture to lobster gradually, stirring constantly until thickened.
Serve over rice, toast points or patty shells.
INTERESTING LINKS
TO FOLLOW
Delmonico's
Restaurant New York
Charles
Ranhofer's 1894 Recipe