Epicurious.com's recipe for better egg foo yung and FoodNetwork.com's egg fu yung include good instructions for egg foo yung sauce. Both these sauce recipes use chicken stock, soy sauce and sesame oil as base ingredients.
To make Epicurious' egg foo yung sauce, whisk 1 tablespoon all-purpose flour and 1 tablespoon unsalted butter in a saucepan over medium heat. When the mixture is medium brown, add 1 cup reduced-sodium chicken broth and whisk. Add 1/2 teaspoon each reduced-sodium soy sauce and sesame oil. Add black pepper to taste, and continue cooking over low heat until the sauce thickens.
For the Food Network's egg foo yung sauce, boil 1 cup chicken broth and 2 tablespoons soy sauce in a saucepan, then reduce the heat to a simmer. In a separate bowl, combine 2 teaspoons cornstarch with 2 tablespoons water. Stir until the cornstarch is fully dissolved. Slowly add the cornstarch mixture to the broth, stirring constantly. Once the sauce thickens, add 2 tablespoons sesame oil and a pinch of cayenne pepper. Remove from the heat.
Each of these sauce recipes is accompanied by a recipe for egg foo yung. Epicurious' recipe creates egg patties while Food Network's recipe makes stir fry-style egg foo yung.