Some people can sneeze with their eyes open:

Q: Why do we sneeze?
A: Sneezing is a way that your body gets rid of bad things that are in your nose. These things might be bacteria, germs, and other things.

When you suddenly you see a bright light like the sun or a light bulb then you feel like you are going to sneeze. Most people feel like you do when you see the light. Actually 1 out of 3 people sneeze when they see the bright light. Those people are “Photic Sneezers.” Photic really is another word for light. Photic sneezing is something that you get from one of your parents because it is something that runs in one side of your family.

Q: Can you sneeze with your eyes open?
A: Some people can sneeze with their eyes open and some people can’t. Sneezing is a reflex and so is closing our eyes. We have no control over whether or not we close our eyes when we sneeze. Some people don’t have reflex, so when they sneeze then their eyes won’t close.