You can't back feed air to a pressure pot style system with your finger over the nozzle.
You CAN (and should occasionally) with a siphon or venturi feed.
A pressure pot style has the compressed air going into the pot (duh) and forcing the sand out the nozzle with it. There is only one tube supplying both sand and air to the nozzle, so there is nowhere for the blocked air to go other than through your finger. This is the style Marc is referring to.
A siphon feed has a separate air line and sand line. If you were to block the nozzle with your gloved finger, the air simply diverts backward up the sand line and blows up into the reservoir of sand. This is the style of gun typically found in a small blast cabinet. This is the style ZRX61 is talking about.
They are very different mechanisms, and you need to know what you have before you start jamming your finger in places. (which is good life advice anyway, really) One works great and self cleans, the other really, really hurts.