The simple answer to your question is that we just don’t know. This has been a conundrum in solar physics for several decades at this point and although we have made some way forward to resolving it, we simply do not have enough evidence to support the current hypotheses.
You are correct that it doesn’t make any sense because at face value, this breaks the second law of thermodynamics. The current hypotheses basically revolve around some method of transporting heat from the suns interior through something akin to a soundwave but we have struggled to identify waves propagating through the corona. The competing hypothesis involves some weird interactions with magnetic fields breaking and reconnecting. This process generates electrical currents and waves supplying heat to the corona. This is how solar flares form (we think) and it’s thought that there are lots and lots of tiny solar flares occurring at all times which can provide heat to the corona.
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