Could be part of the "goose bump" / "goose flesh" / "goose pimple" effect.
I hadn't considered it until now, but there have been occasions when I have had goose bumps after sneezing - usually as a result of having a cold or allergic reaction, not just ordinary irritation - and the general "unwellness" of the sneeze feeling sometimes gives me goose bumps. I definitely have always had nipple erections along with goose bumps, so try to sense whether that is also happening next time you sneeze.