Hydrogen, Helium, and small quantites of Lithium were the only elements that lasted from the Big Bang to until stars first formed. All elements with the exception of these three elements were formed from the fusion of atomic nuclei in stars, and before stars existed, these were the only elements that existed.
Additionally, burning is a chemical reaction that requires the exchange of electrons to occur. Up until 300,000 years after the big bang, electrons were free particles, and there was too much energy for electrons to be brought into orbits around hydrogen, helium, and lithium nuclei. If an electron encountered a nuclei, it would simply collide but would not be placed in orbit around the nuclei of the hydrogen/helium/lithium atom. However, when the universe cooled 300,000 years after the Big Bang, electrons then started orbiting hydrogen, helim, and lithium nuclei; and the universe became transparent. However, oxygen would never form until stars came into being.
Additionally; helium is a noble gas; it does not combine naturally.
