You cannot sneeze while asleep because of something called REM atonia which refers to a state of the brain where outside stimuli and reflexes are not relayed to the brain. If these outside stimuli are sufficiently large you will wake up and then you can sneeze but then obviously you are no longer asleep!

It is also supposedly possible to sneeze without closing your eyes but I don't think I can do it...

Sleep tight, don't let the bugs bite