This seems a lot like asking: Should I worry that something I write might have already been copyrighted by someone else?
The answer, of course, is that most people just don't worry about it. If you write something of any length yourself, rather than copying it from somewhere else, then the chance that you're going to write exactly the same thing that someone else did is pretty small. And if it ever does become an issue, you'll probably have some supporting evidence to show that you really did create the work yourself -- notes, books that you read on the topic, etc.
I think the same thing applies to your sudoku generator. The number of possible puzzles that your program could generate is huge: one source I found with a quick search says the number is 6.6709 * 10^21. Now, how many puzzles could have been copyrighted already? Millions, perhaps? Any way you look at it, the probability that someone playing your game happens upon a copyrighted puzzle must be vanishingly small. Also, the work that you are publishing is not a collection of canned puzzles -- it's just an algorithm that generates puzzles. Nobody can say that you copied their work (unless you lifted the code for generating puzzles from someone else).
TL/DR: Don't worry about it.
Also: I'm not a lawyer, and I'm not giving you legal advice here. I'm just pointing out the odds. If you have legal questions or concerns, talk to your own lawyer.