It's good to have some experience with them even just to know what tools may work best for a situation. I'd suggest something close to what you already know, C# -> F#, java -> clojure or scala, declaritive -> ML or Haskell, etc. dynamic vs static and strong vs weak typing systems can have a big impact on how you think about programs. Debuggers vs REPLs vs compiler warnings vs generic logs are all going to be different too on top of the paradigm like functional that will have different approaches. Minimizing the other differences makes it easier to focus on and learn the functional stuff.

If you look at samples of a bunch and none are clicking I'd start with any that has dynamic typing, REPL style like common lisp, scheme, elixir. They are simple to get started with coming from python dynamic typing and options for interpreter & compiled, and you can add dependency management and interop and other stuff on top later. RDMS SQL is generally a static typed, declaritive style language. If you want a similar functional language look at ML, Haskell. But even in functional languages you'll usually use a library or driver or language feature specifically for interacting with RDMS, you may use pandas in python and datomic in clojure.

The big things to focus on are understanding common idioms like combining functions in call chains using basic functions map, reduce, & filter, etc, creating new objects with charges instead of changing in place (non mutable), and higher order functions/function composition that lack of mutability restriction allows.