@dicknskip - what version of Sigil? If you are using 0.5.906, there is a bug in it (broken from 0.5.905) where the DotAll option is actually doing Minimal match and vice-versa. So if you don't have both turned on and are using 0.5.906, turn on the "minimal match" option. Or manually add (?s) to the front of your expression.
Now if that still doesn't work for you, then post an example of the two paragraphs. Normally I would do something like (off the top of my head untested):
Find: “([^”]*)</p>\s+<p[^>]*>
Replace: “ \1