It's fairly pointless, but like a lot of other seemingly pointless and futile endeavors, people do it all the time. The majority of Benzodiazepines, but not all, are lipophilic. This means they combine easily with lipis/fats. Lipophilic compounds are generally not well absorbed through the mucous membranes in the sinuses. You will likely still experience the effects of the Benzodiazepine, as it's going to drip down your throat. This is why people tend to say "It works, see!".
It's basically a waste of time. You would be better off to go sublingual if looking for a faster onset. This is the medically advocated means of achieving a faster onset and it's most effective.