From the Boston Globe:
“Actually, no one really knows.
’‘It is unclear, but scientists theorize that we close our eyes to protect them. We may be protecting our eyes from microorganisms and particles from our sneezes,” said Dr. Bonnie Henderson, director of comprehensive ophthalmology at the Massachusetts Eye and Ear Infirmary. But it could also be simply because a sneeze is a kind of bodywide reflex in which a lot of muscles contract, not just in the nose and throat but also those in the diaphragm, the abdomen, thighs, back, even sphincters (which is why some people with stress incontinence may urinate slightly when they sneeze).”