Its a medical impossibility, and the odds are, they will, to put the previous answer to the test, why not ask as many people as you can, if they've ever done it.
I cant give you a link to this hazyhazy because it was a long time ago, but a man who was charged with causing an accident whilst driving his car was aquitted because his defence was that at the unfortunate moment he had sneezed and a doctor testified that it's impossible to sneeze with your eyes open, therefore the ensuing crash was not his fault.
About 20 years ago I heard about an experiment which was done on monkeys (or possibly chimpanzees?) in which their eyelids were sewn open. They were made to sneeze, and the force of the sneeze was enough to tear their eyelids out of the stitches, so they closed their eyes anyway. This is something that someone told me at school, and I have no idea whether it is true, or just an urban myth.