H2onE2 said:
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Use your own eyes. The sun is burning oxygen. It is a oxygen combustion fire. No gas burns unless is has an oxygen supply or an oxidizer built in like solid rocket fuel.
In fact if you walk into a room of 100% Hydrogen gas with a candle the only thing that will happen is the flame will go out. Exhaling oxygen as you walk into the room might cause you some problems.
If you want to go down the slippery road and say the sun is nuclear than it would still not look like a big camp fire. If a nuclear bomb is exploded in space there is no fire or mushroom cloud. Unless you supple an additional bomb full of compressed oxygen.
Yes. Hydrogen fusion does result in the creation of helium, really. That's how hydrogen bombs and Sol type stars work. Really. They really do release energy in the form of heat and light too. No oxygen required.
You're obviously a bit shaky on the chemistry of other gasses, too. Like, the halogens, chlorine and fluorine. One of my favourite experiments, in chemistry class, was when the teacher would drop a strip of copper foil into a jar containing mostly chlorine gas, no oxygen. It burned with a lovely bright green flame. Fluorine is even more reactive.