This happened to me once. I brought home some rats from the pet store (bad idea, i know). At the pet store they were on pellet bedding, I put them on a wood shaving bedding...they sneezed their heads off and eventually got my whole colony sick. I lost 5 of my 10 rats in that ordeal.

If you think their sneezing is caused by your bedding, you could help them by putting them on shredded newspaper which has no dust.

JonV