Who to upgrade first?

GHB heroes and the Askran trio are neutral by definition, so you don't really have to state it.
Anyways, it REALLY depends on what your current lineup of units is lacking and what options you have for inheritance, but don't waste feathers on Tobin/Berkut/Corrin. Those three are outclassed in pretty much everything they can do.

No need to specify neutralfor all the GHB units or Askr heroes really.

Before really being able to tell you who to use, what do you have at 5-star or 4-star lv 40 for your current teams?

Without knowing what your existing go-to team is, I'll have to say Sharena. The three Askrans are your best long-term investment, since one of them is featured in every Arena season and Tempest Trial... and out of the three, Sharena's the best. Anna comes in a close second.

It's based on the colour that you need in your team .For red colour Zaphiel (it's a good choice ) Tobin(I don't recomand) is not so good even at 5*.For blue Sharena or your perfect Effie,same for Cordelia (Sharena is a hero bonus in many situations and you can't get her as 5* like others ).Bercut, I don't like his performance,even in a cavalry team.Is no need to upgrade Corrin you can get very easy a merged version(+spd-res is good as orriginal).For green Legion, Micalis, Anna(hero bonus purpose ).Sorry,have no experience with Clarisse.???

Well since your name is Cordelia, go for Cordelia 5* Quad Build Spd+ is good for her.

Sharena would probably be best since she's an arena bonus hero 1/3 of the time. Your Effie is very good if you want to build around her. Your Cordelia is good for the quad build if you have access to brave bow+

I'll add to the "depends what else you have" group.

Sharena for Arena bonus purposes or Cordelia would probably be my picks. I'm guessing that's flier Cordelia and not Bridal, right? Zephiel's good if you want to build toward an armor team, but red is generally not the best color to invest heavily in when starting a team. That's also a pretty good Effie, but you need to build around her.

Your Effie is the bomb, but depends on what's lacking. Zephiel is also a very good unit for neutral stats, but if you're looking for some sweet utility, then Corrin is another sound choice.

There is another grand hero battle coming soon, being Valter I believe, which is another option for ya if you are willing to grind out more and wait, but I dunno anything about his stats or abilities in general.