USEC : About sneaky races : Human, Elves, Forest Gnomes, Halflings, half-elves are all good.
For classes, Immaterial summed it up right (even though the adventure will have a bit more city than he thinks :p ).
Rogue are the common (and I think the best) class for a city-oriented sneaky guys. They're the stealthiest, and the specializations all are good for that (Thief for more utility and acrobatics; Assassin for bigger damage, deception and poison; or Arcane trickster for a bit of magic in the mix, with illusions and debuffs).
Ranger are the common class for nature-oriented sneaky guys. They're the best when it comes to find and track anything, and they generally have more utility than rogues (extra class features). One of they specialization offer them an animal companion than brings even more utility to the table (a hawk will particularly help for perception and can offer a new point of view pretty easily, for example), while the other is more damage oriented, giving more ways to deal damage either to a single target or to hordes.
Cleric of Trickery seems to be an option, maybe more illusion-oriented and more dependent on spells (so momentarily more powerful then rogues/rangers). It can bring the usual broader utility a cleric brings, but is more limited as far as combat is concerned.
Monk (with the Way of the Shadow) are closer to anime-styled ninja, going from shadow to shadow, running excessively fast, catching arrows, and hitting faster than anyone with their bare hands.
Fighter are also a possibility. Focussing on ranged and "finesse" weapons (dual wielding scimitars or rapier an shield), you can easily get a fighter with great potential in combat (using the Battle master specialization to be able to parry strikes, disarm or distract your opponents, etc...). Thanks to the potential of backgrounds and feat, they can also bring many things to the table.
[EDIT]Also, Sorcerers and Warlocks can easily get a sneaky focus. Both use their charisma and need high dexterity to dodge hits. That means they can effectively use this dexterity for acrobatics and stealth, and the charisma for bluff and persuasion when they need to get past curious people.
Sorcerers can affect their spells to cast them without speaking out loud (as most spells normally do), and the draconic ones get some natural armor, which means they don't even need to amper their stealth with anything. They have access to many cantrips (spells they can cast at will, any number of time during the day), including some really sueful ones for distraction (
Minor illusion,
Prestidigitation,
Mage Hand,...) and some spells that are realyl helpful as well (Disguise Self, Feather Fall, Fog Cloud, Sleep,
Invisibility, Mirror Image, Spider Climb).
Warlocks have a more limited spell list, but still get some good ones for stealthy purposes (Mage Hand, Minor Illusion, Prestidigitation,
Invisibility, Mirror Image, Spider Climb), and some special ability depending on the entity which grant them their powers. The "Great Old One" patron could interest you, as it helps you focus on the minds on the others. As such, you become able to communicate telepathically. Also, you can get special invocations, boosting your abilities in Deception & Persuasion, letting you see in the dark or casting
Disguise Self or
Silent Image at will.
With a stealth oriented background and/or race (Half elf, halfling, human), those two classes would grant you some nice stealthy caster.
AlleeCat : You seem to have he basics correct. As the other said, we're begining at level 3, so that means your HPs should be higher : 10+2 + 6+2 + 6+2 = 28 at level 3.
Also, I see that you've listed dueling as your fighing style and a longsword in your weapon list, but no shield. It should bring your AC 2 poitns higher.
Except if I missed something, your movement speed should be the "normal" one : 30ft, not just 25ft.
I also can't find your color in your sheet : white or silver ?
Also, you seem to have access to the PHB (as the PAladin isn't in the free PDF). Do you need help to choose your spells ?
One last thing about the sheet : in the skill list, I think you're supposed to put your total bonus in the input boxes, so that would be 5 in athletics, 4 in intimidation, and so on...
And about the feat, it's as Immaterial said : you can skip an ability increase to have a feat instead (or use the Human Variant race to have one at your first level). So no feat for a lvl3 dragonborn, but maybe at the next level