Of course you don't. It's not right. Stopping a sneeze by blocking the nose and mouth at the same time is a dangerous maneuver that should be avoided. Everyone knows that if the pressure generated during the sneeze cannot be released through the mouth and nose, the air instead stays in the throat, damaging the soft tissues or tries to come out from other sides. It should be noted that sometimes when sneezing the expelled air comes out at a high speed, which means an indirect pressure on other senses and organs. For example, a person who holds the sneeze may feel pressure in the ears and may even expel gas from the stomach.
Sure, if you want your eyeballs to pop out of your skull and your eardrums to explode. A sneeze exits your body at up to 100mph. There's speed and pressure that will have to escape your body somehow. And it's going to go wherever it can. Namely out your sinuses and eardrums!
If you want to sneeze, try to open your mouth. If you sneeze with your mouth closed, it will easily lead to bacterial growth in the mouth, and it can easily lead to acute laryngitis, or symptoms such as throat rupture.