Now that explanation is a whole lot cooler than 'It is a large flaming ball of gas in the sky'.
That's the point of fantasy. Most people waste it and try to explain away everything interesting and fantastical by binding it to real-world rules that do not exists in these worlds. But in Fantasy, the sun and stars can literally be holes in the sky, which is in fact a gigantic ocean-like void that revolves around a central planet, which is often the focus of gods who are themselves and yet also other beings, like Akatosh can be Alduin can be Shor, but those three can be different people, who are objectively real, but can meet each other and, in some cases, murder and deceive one another, or how Jyggalag can command his Knights of order even when Sheogorath is dominant, and if the CoC mantled the Madgod truly then they can be two people as well. or three, if he also mantled Pelinal who mantled Shor.
Another example from the central plot of Morrowind is that the nerevarine is him or herself, but he/she is also Nerevar.