As anyone who's ever sneezed can tell you, it's caused by irritation in the nose. And the answer to a question on this very SE attests that "sneezing is a reflex, partially autonomous, to clear the nasal cavity of particles that don't belong there."
That being true, the sneeze mechanism is a little bit strange: if you hold your hand up in front of your face when you sneeze, you'll feel that all of the rapidly-expelled air that ought to be cleaning out your nasal cavity is coming out your mouth, not your nose. In fact I don't think I've ever felt air coming out my nose when I sneeze.
So what's going on there?