Is there water vapor on the sun?

yes there is

"So how can there be water molecules on the sun? Well, there are a few cool places, just cool enough that some hydrogen (H) atoms and oxygen atoms (O) can team up to become a water molecule (H2O). Those are the centers of sunspots on the outside of the sun. Sunspots are dark places on the sun with a lot of magnetic field, much much stronger than the earth's magnetic field which pushes your compass needle to the direction of the North pole. In sunspots, the magnetic field is so strong that it pushes the gas largely aside and makes it cool as well. The remaining gas is so cool that there can be a bit of water by H atoms joining O atoms. That is still water vapor, not fluid! You can't go Surfing on the sun - and I can't go kayaking there (that's my sport)."

courtesy of Rob Rutten (Sterrekundig Instituut, Utrecht University, Netherlands).