Neural networks are susceptible to privacy attacks. To date, no verifier can reason about the privacy of individuals participating in the training set. We propose a new privacy property, called local differential classification privacy (LDCP), extending local robustness to a differential privacy setting suitable for black-box classifiers. Given a neighborhood of inputs, a classifier is LDCP if it classifies all inputs the same regardless of whether it is trained with the full dataset or whether any single entry is omitted. A naive algorithm is highly impractical because it involves training a very large number of networks and verifying local robustness of the given neighborhood separately for every network. We propose Sphynx, an algorithm that computes an abstraction of all networks, with a high probability, from a small set of networks, and verifies LDCP directly on the abstract network. The challenge is twofold: network parameters do not adhere to a known distribution probability, making it difficult to predict an abstraction, and predicting too large abstraction harms the verification. Our key idea is to transform the parameters into a distribution given by KDE, allowing to keep the over-approximation error small. To verify LDCP, we extend a MILP verifier to analyze an abstract network. Experimental results show that by training only 7% of the networks, Sphynx predicts an abstract network obtaining 93% verification accuracy and reducing the analysis time by $1.7\cdot10^4$x.