It would indeed be impossible for a sun to render, if there is no such object in the scene. This would suggest it is hidden in some way, or that there is another similar light source somewhere (a V-Ray sun, a Max native sun set up, some other light that is not a sun, an HDRI with bright sun in some override, etc.). Some examples of your renders would be useful, too, just to see what you are getting, as well as a grab of your Corona Sky parameters.