Not quite correct, on two counts.
1) For most of us, the point of entry of airborne allergens into our system is up on the mucus membranes high in the nasal passages, beyond where you can (or should) shove a vaseline-covered finger.
2) There are two ways you generate sneezes - particulates you inhale physically irritate the surfaces of those upper membranes, or the allergic biochemical cascade response causes inflammation and mucus production, which then stimulates sneezing. The former of these may be a reaction to any particulates, and is not technically an allergic response.
Vaseline up the nose does the same job mucus does - it traps particulates before they can reach those upper membranes. However, be aware that, since it is not mucus, the body does not necessary expel the resulting particulate-ladened goo in the same way, and you may be trapping a bunch of dust, mold and bacterial spores up in the nice warm, damp environment of your nose where they may choose to grow.
I am glad you have not had issues with sinus infections resulting from this, but it isn't a recommended treatment for allergies.
