What is the sizeof() Arduino's built in HIGH and LOW?
In Arduino AVR Boards, HIGH and LOW are currently macros:

https://github.com/arduino/ArduinoCore-avr/blob/1.6.23/cores/arduino/Arduino.h#L40-L41

#define HIGH 0x1
#define LOW  0x0


This means that sizeof(HIGH) is equivalent to sizeof(0x1). 0x1 is an integer constant. The default type of integer constants is int. On an 8 bit microcontroller like the ATmega2560 used by your Arduino Mega, an int is 16 bits. 

That is why sizeof(HIGH) returns 2 (16 bits / 8 bits/byte = 2 bytes).