Why is the Sun always burning?I think its because of nuclear fission. But sun does not have oxygen i think. Without oxygen how is it possible?

You, along with astronomers up until the 19th century, pondered this question.  By their best calculations, they simply couldn't account for how the Sun, even as massive as it is, could be able to produce heat for as long as it did.  Yesterday's astronomers did the same thing you did -- imagined that the Sun was undergoing some kind of burning process. What scientists didn't know about were the subatomic particles that compose atoms, and it is the fusion of those nuclei that create the heat that radiates from the Sun, a process unfathomable to scientists until the discovery of radioactivity.

Interestingly, the Sun starts fusing two hydrogen nuceli to create a nucleus of helium, releasing energy in this reaction.  Eventually (and this is still far in the future) the Sun's hydrogen supply will run low, and at its center it will begin to fuse soley helium, creating higher-numbered elements, then fusing those elements to create higher-numbered elements still.  Every atom that exists came from the belly of a star. Depending on the type of star, it will eventually explode, dispersing the Elements through space. Our Sun, however, being an average star of average age, will go through a process of expansion, large enough to swallow Mercury and Venus, and maybe even Earth. Certainly all life here will cease, as the solar energy will boil off the oceans and incinerate the planet, perhaps correctly reflecting the term "Global Warming."    The Sun will then contract to smaller than in is now and continue to thermally radiate a fraction of it current heat for hundreds of billions of years, as it slowly cools off.