As strange as it may seem, the answer to this may be yes! Peter Bernath at the University of Waterloo in Canada studied the spectrum of a sunspot seen in 1991 which had the coolest temperature ever recorded on the Sun; a balmy 5000 K. He and his colleagues discovered that the spectrum had a very weak signature of water. Evidently, water does not completely dissociate into Hydrogen, H, and hydroxide, OH, except at temperatures higher than 5000 K, so 'steam' can exist on the Sun. The amount of water implied by the measurement of the spectral emission from the 12,000 km sunspot would be enough to fill a lake 4 miles square to a depth of 300 yards.
The big question is how the water got there in the first place. One possibility may be that some of it is left over from the interstellar cloud out of which the Sun and the planets formed 4.6 billion years ago!