Yes although it seems impossible it is actually entirely possible for certain people to be allergic to cold temperatures.
The cold temperatures can cause some people to sneeze.
The medical term for being allergic to the cold weather is called "cold urticaria" or even cold hives.
The cold hives can also cause large red welts form on the skin after exposure to a cold stimulus.
Usually the sneezing though will go away after the weather begins to warm up or you get into a warm room.
I know when I go into a cold room or step outside in the cold weather I will sometimes sneeze but after I get into a warm room or building the sneezing goes away.
The cold weather also irritates some peoples nasal passages especially if you suddenly go out into the cold after being in a warm house or building.