Other comments are correctly stating that the sun is white, but appears yellow/orange due to the blue light being scattered—but that doesn’t fully address the issue, because objects seen under a white light with an orange filter in front would still have an orange cast.

The difference with the sun is that the scattered blue light is still reaching objects via the light from the rest of the sky—it’s the orange light from the sun combining with the blue light from the sky that makes things appear white.