Why there is no smoke around the Sun? Where there is fire, there is always smoke. So why there isn't any smoke near the Sun?
The sun isn't on fire.   Fire is actually very rare in the solar system.   It requires chemical potential energy, which happens on earth because of life.  Photosynthesis uses solar energy to build things out of carbon, oxygen, nitrogen and hydrogen (and some other elements).   It's these carbon chain structures that are ultimately flammable, and pretty much, only in an Oxygen atmosphere.   Oxygen atmosphere is produced by the same photosynthesis.  

The sun's heat comes from nuclear fusion which doesn't make smoke.    Also, the nuclear fusion only happens deep the inside of the sun, the outside is just a thick blanket of molecules - mostly hydrogen.   The sun also isn't transparent.  The light we see from the sun is like the light we see from a red hot piece of metal or lava.   Red hot metal doesn't smoke (unless you drop water on it - which is actually steam.)   The sun, like red hot metal or lava, glows bright because of temperature.

In a certain sense, the tail of a comet is kind of like steam being made by the heat of the sun.