Yehudis, please refer to Bereishis (Genesis) chapter 2 verse 7.
“…and He breathed into his nostrils the soul of life, and man became a living soul.”
The nose is the area of the body that Hashem use to send the breath of life into man. It makes absolute sense that it is the area from which life departs. A sneeze seems to be the most natural form of death, methinks.
However, one note: Do bear in mind that Midrashim cannot be always taken literally. They are generally allegorical, and one must learn it from someone else who has already learned it, knowing how to decode it.