Question

We know that without oxygen anything cannot be burn so how sun burn in space without oxygen

Answer 1

So, the Sun can "burn" hydrogen to helium without the need for oxygen. It should be noted that in the presence of carbon, nitrogen and oxygen, stars heavier than the Sun may burn hydrogen to helium by using the C, N and O as catalysts. Even in these stars, however, an absence of oxygen does not prevent nuclear burning

Answer 2

a fire cannot burn without oxygen... so, the sun can "burn" hydrogen to helium without the need for oxygen.