If a parrot sneezes frequently, like all day, or if there is a discharge, the wise course is to have your Certified Avian Vet check him out. Winter is here in the North Northern hemisphere and heating the home is in full swing, which can dry the environment out to less than ideal conditions for a parrots, respiratory system.
My Amazon Salty sneezes 1 or 2 times in the AM when he first wakes up. Thats pretty normal. I would be concerned if there was a discharge or plugged nostrils or dried yucky on his nares, or sneezes frequently.
With parrots, by the time they display outward signs of illness are already very sick. They hide it well, because the sick one becomes a predator's dinner. Not saying your cocky is that ill but concern is voiced.