Does this sound natural to you?

Well, yes and no. It’s a perfectly natural sentence, but it’s kind of hard to get that many words out when you’re fighting a sneeze. What I’m more likely to say is something like "Ah… uh…. mmffff. Oh, sorry. I thought I was about to sneeze."

It's grammatically correct, but "I'm gonna sneeze" would be more natural because it's shorter, and every second counts in that situation. Especially for me because I have very loud sneezes and I like to give people as much notice as possible so they can brace themselves.

Yes

Yes. "I'm" would be more common than "I am," but "I am" is perfectly natural, and can work better than "I'm" in some contexts.

Yes, that sounds fine. Also, "I'm going to (or 'gonna') sneeze," "I gotta sneeze," or here in the Southeastern U.S., "I'm fixin' to sneeze."

Outside of prim, quaint world of *"Pride and Prejudice"* novels, the natural native way to enunciate the commencement of such an expectoration is, approximately... Oh, eh, ah... ah, aah, aaaaaah, aaaaaaaaaaaah, AAAAAAAAAh ***AAAARRGH*** Chew. Soz.

UK would generally be "I'm going to sneeze".

Socially, we might normally signal our intent, so something like, "Hang on, I'm going to sneeze" would be very natural.

Personally, I just say "I gotta sneeze" or "I'm gonna sneeze." Saying it the way you did isn't wrong, but in English (specifically American English), we like to shorten things until they're really informal. Even in a formal setting, I think I would just say "I'm going to sneeze."