Generally, when a sneeze has an odor, it may point to an underlying nasal or sinus infection, according to Health Guidance. Depending on the nature of the smell, this could be a yeast infection.
Since air that is expelled from the nose comes directly from the lungs and not via the mouth, it is more unusual for it to have an odor. It could therefore be related to cancers of the airways, kidney and liver disease or, in diabetics, ketoacidosis, which is a serious complication.
On the other hand, it might be something much simpler, such as a crusting around the nose that has picked up a minor bacterial infection.
If the problem is ongoing, and especially if others can detect the odor, then a physician should be consulted.