Technicaly sneezing is a reflex action. Its your body's attempt to throw out any foreign object (like dust or even mucus that you may secrete when you have a runny nose).
In a normal awake state thsis works instantly .. inhale something foreign and lo, you sneeze instantly. However, when you are asleep this may take sometime to get activated, depending on how deep your sleep is (as the deeper your sleep, the less active your sensory neurons are), and how stron the stimulation is. But if you increase simulation eventually you will sneeze.
So technically one can sneeze while asleep (which of course will break your sleep later on leaving you wondering "hell .. did i sneeze while I was asleep or did it happen after i woke up !")