That’s a really interesting question! I have never really thought about water in the sun before! My intuition tells me that the sun is so hot that it will split any water molecules apart. Water is made of two hydrogen atoms and one oxygen atom that are bound together. At high temperatures (100°C at sea level), liquid water turns into water vapor. At very high temperatures (thousands of degrees Celsius), many of the water molecules in a vapor will split apart into atomic ions (individual hydrogen and oxygen atoms that have an electrical charge). At the temperature of the surface of the sun (~5,500°C), most of the water will be split into individual ions. However, when researching your question, I learned that there is water in some areas near the surface of the sun! The water vapor only exists near sunspots, where the temperature is abnormally low (Wallace et al., 1995). On earth, when water evaporates, it rises up in the atmosphere if the parcel of air that it is in is warmer and less dense than the surrounding air. I don’t know this for sure, but I assume that there is extremely high turbidity (swirling around of the cloud of ions) at the surface of the sun, and so I think any water vapor probably gets swirled around too. However, the strength of the sun’s gravity is so great that the water molecules probably can’t escape into space.

References
Wallace, L., Bernath, P., Livingston, W., Hinkle, K., Busler, J., Guo, B., & Zhang, K. (1995). Water on the sun. SCIENCE-NEW YORK THEN WASHINGTON-, 1155-1155.