Yes, it can't be more normal. Scientists haven't found the reason for our eyes to close when sneezing. But it has been proved to be involuntary as a part of the sneeze reflex. When your nose is irritated by something, a message is sent to your brain which order a series of actions including contracting of many muscles and closing the eyes.
It is quite normal. Take no worries about that. The pressure which makes nasal foreign body excluded is fairly big when we sneeze. That pressure can make the exhaust 150km per hour. Closing eyes is a way to protect the eyes from being injured in the aspect of lachrymal duct and optic nerve.
Do not worry, it is a common behavior for everyone which should be regarded as a kind of conditioned reflex.
On the one hand, sneezing needs a great pressure to expel gas, which will cause a strong sudden contract in diaphragm and intercostal muscles which will induce orbicularis oculi muscle to contract, also the muscles in face,neck and forehead will be strained and after that your eyes will close without control.
On the other hand, you should be concentrated on it when you are sneezing and closing your eyes can just help avoid the outside interferences.