It's not burning; "the Sun does not "burn", like we think of logs in a fire or paper burning. The Sun glows because it is a very big ball of gas, and a process called nuclear fusion is taking place in its core."
(this is from https://starchild.gsfc.nasa.gov/docs/StarChild/questions/question36.html#:~:text=Answer%3A,taking%20place%20in%20its%20core. )