Is there a reason to limit theories to natural formation? An alien race could have built it as a hydrogen storage tank or something.
For example, rather than a hydrogen storage tank, perhaps this was once a primordial rogue planet, a frozen ball of hydrogen hurtling through space. If it was then captured by a star's gravity well, and gently warmed by its newfound environment, it could expand into the anomaly we see today. Perhaps in another hundred years, we'll see that it's shedding its gas into a ring around the star. This sounds improbable, but I find it less incredible than immediately jumping to intelligent life.
We have Bluetooth toasters!