I bet you know that if you sneeze with your eyes open they will pop out of their sockets like marbles... Which is totally wrong! They won't! Here is a live proof from a girl who sneezes with her eye open:
Yeah i know, she looks more than the end of a screamer video...
Anyway - Most people cannot sneeze with eyes open simply because of reflex! The nose and eyes are linked together through cranial nerves. The nose stimulation travels up to the brain and then back to the eyelids.
After all, sneezing causes a body-wide muscular reflex. A lot of muscles contract during sneezing, such as the throat, the lung diaphragm, thighs and back, abs and many more.