In your config directory create a new directory structure: custom_sentences/en/ (replace en with your language code if different).
In this dir create a create a file named _common.yaml and add this code.
Note I also shortened the Sorry, I am not aware of any device called .... response when the entity is not found.
language: "en"
responses:
errors:
no_intent: "Sorry"
no_entity: "No device called {{ entity }}"
Then restart Home Assistant
Find out what message you want to override in
https://github.com/home-assistant/intents/blob/d074a88160ae1f29297cf2dded2344277a980fd5/sentences/en/_common.yaml
The default Sorry, I couldn't understand that message seems to be the no_intents ‘General errors’ which you see at the top of that file.