Sneezing is not well understood, but what is known is that the sub-conscious reaction does not happen if the lungs are either at minimal or max capacity. ie. if you are undergoing a strenuous workout or activity, your body will not sneeze. Have you ever seen a sprinter, or other athlete sneeze? You probably have right after a race, but not during.
To try this, next time you have to sneeze, either breath in as hard as you can and hold it, or breath out as hard as you can and hold it, or just start sprinting in a random direction. 95%+ of the time you won’t sneeze (unless you are thinking about it too much). Your body knows that your lungs are doing something else and are too busy to sneeze, so it will wait till later.
Same thing for a lot of other semi or sub-conscious body reactions – they are all non-urgent so your body tells you to wait for a more opportune time (a sneeze is just the process of cleaning out dust particles that were not trapped by nasal hair and have hit a sinus node or the back plate of your nose.
The worst that can happen is that the particles remain there and possibly trigger an allergic reaction (foreign substance in the middle of your head = bad), releasing histamines and all that accompanies the reaction that most people who suffer hayfever are familiar with. So if you are sensitive to foreign particles and are allergic to them, there is a good chance that no matter what, you will have to sneeze, but this isn’t very common. For most people high lung activity means no sneezing.
So the athlete doesn’t sneeze during activity, but the chances of them sneezing right after is great – since there could be a ‘backlog’.