Holding in a sneeze is a form of involuntary Valsalva manoeuvre. In a Valsalva, there are characteristic changes in cerebral blood flow, and velocity as reported in this study 
The characteristic changes in blood pressure (phases I to IV) were
seen in all subjects, accompanying distinct changes in cerebral blood
flow velocity. The relative changes in mean velocity during phases II
and IV were significantly greater than those in mean blood pressure.
Compared with the baseline value, velocity decreased by 35% in phase
IIa, then rose by 56.5% in phase IV (corresponding changes in blood
pressure were -10.2% and +29.8%, respectively).
So, it is conceivable that in people with some weakening in intracranial blood vessels eg. an aneurysm, a stroke might result with aneurysm rupture.
Alan Wild, a head and neck surgeon and assistant professor of otolaryngology at Saint Louis University School of Medicine, is quoted as saying holding in a sneeze in an unlucky person might: 
...weaken a blood vessel in the brain and cause it to rupture due to
the momentary elevation of blood pressure
but otherwise, if you don't have such anatomical variations, then there is no mechanism to kill a few brain cells.
 Tiecks FP, Lam AM, Matta BF, Strebel S, Douville C, Newell DW. Effects of the valsalva maneuver on cerebral circulation in healthy adults. A transcranial Doppler Study. Stroke. 1995 Aug;26(8):1386-92. PubMed PMID: 7631342.