The sun can't conduct heat through a vacuum only electromagnetic radiation (light, microwaves, radio waves, IR and UV) and some charged particles.
Correct.
Explain to me how the light heats things up and how the oxygen and nitrogen heats up?
The Sun radiates energy.
Some of the energy is deflected by an electromagnetic field.
Some energy is absorbed by the atmosphere.
Some energy is reflected.
Some energy reaches the surface.
Some of the energy that reaches the surface is reflected, and some is absorbed as heat.
The heated things in turn heat up the things around them.
One of those things is the air (our atmosphere).
The air is comprised of mostly Nitrogen and Oxygen.
Hot air is mostly hot Nitrogen and Oxygen.