Aye, true. Though I would consider that case different (slightly, but not fundamentally wrt waves existing) from the sun because on earth there are atmospheric sound waves that just don't reach out to the moon. But I hadn't thought of the possibility of waves going into the sun, so there would be existing waves there too. More akin to making a sound on the moon by vibrating the moon itself I suppose.

Edit: and really, I'm talking out of my ass lol. There could very well be gases or some such to vibrate around the sun, even coming out of the sun and carrying vibrations, but I don't know enough.