Why Do we close our eyes while sneezing?
Mythbusters did this one!

The simplest response is that your eyes close as a reflex, because the nose and eyes are linked by cranial nerves which brings the sneeze signal to the brain and then to the eyes, making them blink. Would you eyes pop out if you managed to sneeze with them open? (a common urban myth) No! Your eyes are attached by strong muscles and it would take a lot more force than a simple sneeze to lose them.

Mythbusters article on the subject

I would love to give you a more scholarly article but this is the same one referenced on wikipedia on the subject, plus it's hard to find academia in the fluffiness of this question.