If there is no oxygen in outer space, and, at the same time, oxygen must be present for fire, where does the sun come from?

The sun is a huge ball of gas it is not necessarily on fire.

The sun is a huge ball of gas held together by gravity.

It does not burn the way wood does, due to oxygen, but it gets energy by a process called nuclear fusion, where Hydrogen is converted to Helium.

The sun will cease to "burn" when it runs out of Hydrogen, but that has a long way to go.