Nice question.
The type of 'burning' in the sun is not
chemical burning, the combination of other chemicals with oxygen. It's
nuclear burning, in this case the fusion of the nuclei of light elements. (The nuclei are the massive centers of atoms.) Ordinary chemistry leaves nuclei unchanged, just rearranging the electrons that surround the nuclei. So no oxygen is involved in the sun's nuclear fusion.
Mike W.
(published on 10/12/2009)