OK, I’ll just get it over with. Why, when my diaphragm pressurizes my chest to blow my nose or sneeze, do I imagine that I feel the pressure strongly and almost painfully all the way to my left thigh? Is this common and is there even remotely any anatomical reason that this could happen?
Ring 911 I think you may have fractured your femur…
It’s not a dumb question at all. If you are willing to accept that the central nervous system is a true system, and nerve endings are interconnected and branched, then it is not at all difficult to believe that if the diaphragmatic bundles are activated by a sudden violent spasm ( hard cough ), then the nerve endings will fire and some of the firings will trigger sensations along pathways not normally associated with that area.
Two proofs:
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Ever heard of the eargasm? Interconnected nervous system pathways allow for the oddly pleasant feeling associated with stimulating the middle ear area with a Q-Tip.
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Ever heard of accupuncture/accupressure, which relies upon the pathways and interconnections by using pressure or punctures in one area to affect another. Considering the thousands of years of use and endless evidence showing the effects, it’s hardly quack medicine at this point.
Anecdotally, I have to say, I’m also posting in here because when I get really violent sneezing fits, I have shocking feelings down into my upper thigh as well. What can I say- human beings are weird.
Don’t call 911. That is what real emergencies are for. 
Cartooniverse
Your diaphragm does not pressurize your chest. The diaphragm at rest is shaped like a dome, with the rim attached to the lower margin of your ribcage; it bulges up into your chest. When the diaphragm contracts, the dome shape flattens. This pulls in on the lower ribs a bit but overall increases the volume inside the chest cavity (by pushing your liver, spleen, stomach etc down out of their position partially inside the chest) and therefore drops the pressure inside the chest. Thus you breathe in.
To pressurize the chest for a cough or shout (called the Valsalva maneuver), the diaphragm actually relaxes while the intercostal muscles (the muscles that go from rib to rib) and abdominal muscles contract. The contraction of the intercostal muscles squashes the ribs down and into one another, decreasing the rigid volume of the chest cavity. The contraction of the abdominal wall muscles squeezes the abdominal organs against the diaphragm, which relaxes and becomes more domelike. The diaphragm is therefore pushed up into the chest, which puts positive pressure on the lungs.
To raise the pressure in the chest significantly, you have to contract the abdominal wall muscles and pressurize the abdomen as well. This may explain the pressure sensation that you feel in the low abdomen/thigh. The pressure wave can also be carried into the thigh - the large arteries and veins going from the abdomen to the leg can transmit some pressure, or if you have a hernia sac that extends from the abdomen to the groin or thigh it can also bulge and cause a pressure sensation.
I am vaguely remembering that there is some potential space composed by fascia that runs down into the leg, and if you have a hernia then this space is where it intrudes. I could be totally wrong though. Could this be related?