Hydrogen is the most common element in the Universe, followed by Helium. When nebulae condense to form stars, there is immense pressure and heat generated. These conditions enable the Hydrogen atoms to fuse in a series of steps to form Helium.
The proof lies in the by products formed by the reaction, like neutrinos, positrons and gamma rays. These have been detected by scientists and agree with the established equations for nuclear fusion.
Further proof is that we can detect Helium by analysing the electromagnetic spectrum of the radiation from the Sun.
Helium was first discovered in the Sun and is named after the Greek Sun god, Helios.