I have no idea what it burns and until someone can bring us back a sample of what it burns neither does anyone else on this planet.
An expedition to the sun was mounted in the late nineteenth century by one Joseph Norman Lockyer. The samples he readily provided gave ample evidence to other researchers about the contituents of solar material.
He described discovering a new substance that was unlike any other. Eventually, it came to be called Helium.
We now recognize that Helium is not what the sun burns. Rather, it is the ash of what the sun burns, and we owe its discovery to Lockyer.
How do we even know it's burning, right? I mean, there's no oxygen!