I occasionally have the need to cough with a PAC. Very interesting to learn exactly why this happens, since I know many of us have experienced it. Good question!
As I understand it, the cough requires a particular timing of the PVCs--- not all PVCs will cause a cough. The compensatory pulse that Ireneo mentioned causes the thud feeling.. In some cases the PVCs closes the tricuspid valve. In the case of the cough, the timing of the PVC is such that the atrium is also attempting to pump blood through the closed tricuspid valve, causing a backwash pulse, called a Cannon A wave, that's felt iall the way up in the jugular. Consequently, there is a tightening/tickeling sensation in the neck and a tendency to cough.
The way I understand it (I'm sure someone will correct me if I'm wrong) is when you get a premature signal/beat sometimes there is the compensatory pause. During that pause the heart is still filling with blood. The way it feels to me is like a sense of sudden fullness in my throat, pressure coming up from below and it makes me cough. Once the heart beats again and goes back to normal you won't feel that pressure.