I don't think that Coward was implying "into" (quite apart ffrom the fact that he needed a word that scanned!)
His use is similar to that of Dorothy Slade's words (to Julian Reynolds tune) in Salad Days, "I sit in the Sun/ and one by one/I collect my thoughts/ And i think them over;"
Slade could well have used "under" in this context, but scansion, again, takes precedence. However, the two words are not inevitably interchangeable: if one talks of, "all beasts ubder the sun ..." one could not use "in". Nor could you really use "under" in the phrase in, "I am sweltering in the sun's direct rays."

I'm immortal until proven otherwise