How long have you had the parrot ? This is only to know if you've just bought the bird and it's carrying an infection.
If its been with you for some time and seems to be healthy, vocal and is eating properly, there should'nt be anything to worry about. If he has no other symptoms, like a runny cere (nostrils) or inflamed eyes - I think everything is fine.
Does somebody in the family have (or had) a cold and is (or was) sneezing. African Greys are notorious for imitating human sneezes, coughs etc. So most probably it is only an imitation of someone else's sneeze.
My African Grey, Jojo, is forever imitating my wifes sneezes and my kids coughs - even if they last had a cold/sore throat months back.
Also check if you have been using a spray, deodrant or cleaning agent in his room which might be irritating him.