We know that sneezes are involuntary. Any dust particle or pollen which floats up your nose irritates the membrane of your nose and results in a sneeze. The response for the sneeze is that your chest expands and minute droplets of mucus come out with 150 kph speed.
Our eyelids have the involuntary action of closing automatically to protect our eyes. So eyes get closed automatically to prevent the germs enter the eyes. There can be one more reason that because the eyes and nose are one series of muscles they tighten up during that involuntary response and eyelids shutdown involuntarily.