Hello! This is simply a common phrase in English. Sunday appears before morning however both words keep their separate meaning. Words can be combined to form compound nouns. These are very common, and new combinations are invented almost daily. They normally have two parts. The first part tells us what kind of object or person it is, or what its purpose is. The second part identifies the object or person in question. Compound nouns often have a meaning that is different, or more specific, than the two separate words. Exsmples: grandfather, policeman, firefighter, greenhouse, boyfriend, etc. Hope this is useful to you.

Yes. Sunday morning is a compound noun. Here is more information: https://www.ef.com/ca/english-resources/english-grammar/compound-nouns/