First of all, only tetrapods need to sneeze. Sneezing is a way of clearing the respiratory tract of dust, mucous and other obstructions - it is triggered by nasal irritation. Animals with gills, spiracles or other methods of obtaining oxygen don't 'sneeze' as such (although they will have other methods of keeping their respiratory apparatus clear of obstructions).
Whales are one type of tetrapod that probably doesn't sneeze (suddenly losing a lungful of air whilst deep underwater might prove disadvantageous) - they have a very different configuration of their nasal passages to prevent water (or other irritants) from entering and they have a conscious control over expelling large amounts of air rapidly - I suppose this could be considered controlled sneezing. Come to think of it, I expect that most aquatic tetrapods probably don't sneeze.
However, I think it likely that all terrestrial tetrapods probably have some kind of sneezing mechanism.