This is because the body essentially "turns off" the sneezing reflex during sleep.  Here's how it works:  

During certain stages of sleep, particularly REM (Rapid Eye Movement) sleep, your body undergoes a state of temporary paralysis. This paralysis prevents you from acting out your dreams and also suppresses reflexes like sneezing. Also, the sensitivity of the trigeminal nerve, which is responsible for detecting irritants in the nasal passages and triggering a sneeze, is significantly reduced during sleep. This means that even if there are irritants in your nose, the nerve is less likely to send a signal to your brain to initiate a sneeze.  

The parts of your brain responsible for initiating a sneeze, such as the medulla oblongata, are less active during sleep. This reduced activity means that the brain is less responsive to signals that would typically trigger a sneeze when you are awake.  While you might wake up if an irritant is strong enough, causing you to sneeze shortly after waking, the combination of sleep paralysis, reduced nerve sensitivity, and lower brain activity generally prevents sneezing while you are actually asleep.