Okay, I am coming out for the interest of Science.
I read today
this article, which does not really say anything new to me, but for some reason triggered my wish to speak up about the condition. The article explains clearly that some people have a twisted connection in their nerves, sort of a short-circuit, which makes them sneeze when they think about sex (others have the same kind of problem making them sneeze when they are looking at bright light sources, e.g. the sun).