I'm one of these. When I've been aware of it my entire life but it's really no issue. A couple of years ago I told about this to my fiance and it's a double edged sword because I can't hide when I'm aroused. It will be a single sneeze, and it can ruin the mood, or settle the mood.
From the theories from people suffering from this, it may be because the increase of blood flow when aroused may expand some veins and obstruct the nose, leading to a need to sneeze, but who knows?