If det(U)=1, then U is in SU(n), so obviously SU(n) can send O(n) (Identity*O(n)) to every class of the form U(n).
If det(U)=--1, then U=V*(-I) where I is the identity, and V is in SU(n). -I is in O(n) so UO(n)=V*(-I)O(n=VO(n). det(V)=1 so we have reduced to the case above
EDIT: Woops. Obviously doesn't work for even values of n
Instead of just -1's, which are primitive second roots of unity, you need to have appropriate kth roots of unity on the diagonal when making V so that the determinant of your scalar matrix is -1
But then the matrix isn't orthogonal. I'm going to have to think about itFINAL EDIT (I hope): Ok here it is If det(U)=1, then obviously U*O(n) is contained in SU(n)*O(n). If det(U)=-1, let V be any matrix from O(n) with determinant -1 (e.g. reflection over an axis). Then U=U*V^{-1}*V and U*V^{-1}*V*O(n)=U*V^{-1}*O(n). Obviously det(U*V^{-1})=1 so we're done