Sovereign Lord is a possible translation of the divine name YHWH
and the Hebrew word Adonai
together, as is seen here. The divine name, commonly referred to as the Tetragrammaton, is normally translated as Lord.
Adonai is normally translated as Lord.
When these two names stand together, the NIV has chosen to translate them as Sovereign Lord
and the ESV as Lord GOD.
A more literal translation would be My master the Lord.
1
1 This is what the Lord GOD showed me: behold, he was forming locusts when the latter growth was just beginning to sprout, and behold, it was the latter growth after the king’s mowings.