I would shake the dust out of his hay before you give it to him. Do not wet the hay, it will cause it to mold and it is very dangerous if your rabbit eats moldy hay. Does he have a wet nose or any discharge from his coming from his nose?
It is probably just hay dust then. Take the hay outside and shake it out really good before giving it to him. If he continues to sneeze or develops discharge from his nose I would take him to the vet because it could be a respiratory infection.