Headache at right side of my head while i sneeze- what can be the reason?

Doing a little research on what you describe, I was surprised to see that some headaches that occur on exertion bear investigation. The following link details this. Please note that the article describes them as coughing headaches, says they may occur with other types of exertion, and usually involve both sides of your head and are typically worse at the back of the head.

These do not fit what you describe, but sneezing is an exertion of sorts. For this reason, I would consult with a doctor just to be sure you don't need additional care.

www.mayoclinic.org/diseases-conditions/primary-cough-headaches/basics/definition/con-20024827

Likely sinusitis and other problems can cause what you describe, but seeing a doctor to determine the cause and suggest treatment would be the best line of action.