They can get sunburn. My friends Sphynx got it before.. it's more common on the lighter skinned ones... her white mink got burned before.
If you search around online, people are starting to make Sphynx Suntan Lotion ... lol.. that's all natural and stuff.
Alternatively, you can buy a light sweater to put on her if you spot her in the sun too much.
http://sphynxcatwear.com/ those are the best sphynx clothes