Do we sneeze in our sleep?

Here is an excerpt of an article that I found on Wikipedia:

Sneezing cannot occur during sleep due to REM atonia – a bodily state wherein motor neurons are not stimulated and reflectory signals are not relayed to the brain. Sufficient external stimulants, however, may cause a person to wake from their sleep for the purpose of sneezing, although any sneezing that would occur afterwards would take place with at least a partially awake state of mind.

I never experience thaat before.

Maybe you are in your early sleeping stage ( probably stage 1 and 2 ). REM only occurs in later stages. Bear in mind that the stages repeat itself throughout our sleep. One set of sleeping stage can occur 4 times in a normal sleep.

I have sneezed in my sleep and it woke me up when I did.

I have seen, in person, my brother sneezing a shocking amount of material from his nose whilst asleep. it was terrible.