Question

there is no oxygen in space then how does the sun burn

Answer 1

Gradually sun don't burns. It just releases heat / light energy because of the nuclear fusion reaction which converts hydrogen into helium. So we can say that there is no enough need of oxygen in sun's fusion reaction .. Hope it helps.

Answer 2

well yes. there is no oxygen in space.
In the sun there is a nuclear reaction going on. It is due to atomic reaction btw hydrogen and helium.
pls note that there is no need of oxygen in nuclear reaction.