Title says it all. I assume we don’t anyway, because I am pretty sure I would be woken up by a sneeze. 
I’ve been woken up by a sneeze.
My son sneezes all night. Probably in the range of a hundred times a night, and it doesn’t seem to wake him!
I’ve never sneezed while asleep and then awoken, IIRC. But I may have had a little sneeze that didn’t wake me up.
I threw my neck out from sneezing in my sleep.
I don’t sneeze in my sleep that I know of, (I’ll ask) but I certainly have been woken up by the urge to sneeze. It’s incredibly annoying. Here I was, sleeping nice and soundly and suddenly I have to fish around for a tissue and blow my nose.
But I do know that my nostrils are significantly dryer when I sleep. Which is part of the reason I like to sleep when I have a cold - I get a few hours where my nose is not constantly dripping.
When I was a kid, I sneezed in my sleep while suffering from a sinus infection. That was quite a surprise for Mom when she came in to wake me up.
My wife told me this morning that I had sneezed in my sleep tonight.
So either my wife dreamt it, or I woke up, sneezed and fell asleep again immediately afterwards, so I don’t remember, or I sneezed (I snoze?) in my sleep without waking up. I guess the latter, but I could be wrong.
Or maybe she is pulling my leg, of course. Not her style, but you never know.
Wikipedia says you can’t sneeze while in REM atonia (i.e., during REM sleep):
Sneezing cannot occur during sleep due to REM atonia – a bodily state where motor neurons are not stimulated and reflex signals are not relayed to the brain. Sufficient external stimulants, however, may cause a person to wake from sleep to sneeze, but any sneezing occurring afterwards would take place with a partially awake status at minimum.
But there are sleep states outside of REM which still qualify as “during sleep” so you can probably sneeze during those lighter sleep state.
I have allergies, and sneezing is a regular part of my life. Some years ago, I had cranial surgery. Somehow, my subconscious suppressed sneezing for a couple of months, until after my skull healed.