Is there any scripture asking not to sleep at sandhya time or giving reasons about why to not sleep at sandhya time?
Yes it is prohibited ..
I am giving below some relevant verses from Manu Smriti and a couple of other scriptures.
Manu smriti 2.219. A (student) may either shave his head, or wear his hair in braids, or braid one lock on the crown of his head; the sun must never set or rise while he (lies asleep) in the village
2.220. If the sun should rise or set while he is sleeping, be it (that he offended) intentionally or unintentionally, he shall fast during the (next) day, muttering (the Savitri).
2.221. For he who lies (sleeping), while the sun sets or rises, and does not perform (that) penance, is tainted by great guilt.
When the sun rises then it's the first Sandhya and when it sets it's the third.
Similar references from other Dharmasutras:
A man who is asleep when the sun rises or sets, or has bad nails or black teeth; a man whose younger brother gets married before him or who gets married before his older brother; a man who marries a younger sister whose older sister remains unmarried or an older sister whose younger sister is already married; a man who has extinguished his sacred fires or forgets the Veda–– these are sinners.
Vashishta Dharma Sutras 1.18
Someone who is asleep at sunrise should stand during that day, remaining chaste and without eating any food; while someone who is asleep at sunset should stand during that night reciting the Sa¯vitri¯ verse.
Gautama Dharmasutras 23.21
Yes, sleep at sandhya time is prohibited as per Mahabharata: Anusasana Parva: Section CIV because this time is prescribed for meditation, if people sleep at this time then, they have their lives shortened:
[Bhishma to Yudhishthira]
One should wake up from sleep at the hour known as the Brahma Muhurta and then think of both religion and profit.
One should not, O king, sleep at the evening twilight. Nor should one study at such an hour for acquiring any branch of knowledge. The man of intelligence should never eat also at such an hour. By acting in this way one acquires a long life.
Sleep at day-time shortens life. To sleep after the sun has risen shortens life. They who sleep at any of the twilights, or at nightfall or who go to sleep in a state of impurity, have their lives shortened.
When the evening twilight comes, one should collect one's senses for meditation, without doing any act.