When we have an sp hybrid orbital, it is usually made of the s orbital and the p orbital that points in the bounding axis ($p_z$). It's energy will be the mean of the energy of the initial orbitals.
In the example of $\ce{N2}$, it is essential to bear in mind that each sp won't form an $\sigma$ and an $\sigma^*$ orbital. Only the one pair of the sp orbitals, the one that overlap the most, will do. The other pair will contribute to the $\ce{N2}$ lone pairs because there is nearly no overlapping. The 2 others bonds that form the triple bonds are made with the 2 left orbitals $p_x$ and $p_y$.
By the way, it is not necessary to use hybrid orbitals for the molecular orbital theory.
Credits to Philipp and Ben Norris.
