Here is one possible approach, which is specific to the adjoint representation. Let $X$ denote $U(n)$, regarded as a $U(n)$-space by the rule $g.x=gxg^{-1}$. Put $X_k=\{x\in X:\text{rank}(x-1)\leq k\}$, so we have a $U(n)$-equivariant filtration
$$ \emptyset = X_{-1}\subset 1=X_0 \subset X_1 \subset \dotsb \subset X_n = X $$
Haynes Miller proved that there is a stable splitting $\Sigma^\infty X_+\simeq\bigvee_{i=0}^nX_i/X_{i-1}$, and one can check that this works equivariantly. For $u\in\mathfrak{u}(n)$ we have the Cayley transform $g=(u+1)(u-1)^{-1}$ which lies in $X_n\setminus X_{n-1}$. This construction gives a homeomorphism $\mathfrak{u}(n)\simeq X_n\setminus X_{n-1}$, and we can pass to the one-point compactification to get a homeomorphism $S^{\mathfrak{u}(n)}\simeq X_n/X_{n-1}$. More generally, suppose we have a subspace $V\leq\mathbb{C}^n$ of dimension $k$, and an antihermitian endomorphism $u$ of $V$; this gives an element $g=((u+1)(u-1)^{-1})\oplus 1_{V^\perp}$ lying in $X_k\setminus X_{k-1}$. If we let $G_k=U(n)/(U(k)\times U(n-k))$ be the Grassmannian of $k$-planes in $\mathbb{C}^n$, and $T$ the tautological bundle over $G_k$, and $\mathfrak{u}(T)$ the associated bundle of antihermitian endomorphisms, and $G_k^{\mathfrak{u}(T)}$ the corresponding Thom space, we find that $X_k/X_{k-1}\simeq G_k^{\mathfrak{u}(T)}$. Thus, Miller's splitting takes the form
$$ \Sigma^\infty X_+ \simeq \bigvee_{k=0}^n G_k^{\mathfrak{u}(T)}. $$
Thus, the group $K_{U(n)}^*(X)$ splits as a direct sum of pieces, of which the top piece is the group $K_{U(n)}^*(S^{\mathfrak{u}(n)})$ that you asked about, and the other pieces are closely related.
I think that there is literature about $K_{U(n)}^*(X)$ but I do not remember at the moment what it says. One point is that we can let $I$ be the augmentation ideal in $K_{U(n)}^*(\text{point})=R(U(n))[v,v^{-1}]$ and form the completion $K_{U(n)}^*(X)^\wedge_I$. The Atiyah-Segal completion theorem identifies this with $K^*(EU(n)\times_{U(n)}X)$. If I remember correctly we can also identify $EU(n)\times_{U(n)}X$ with the free loop space $LBU(n)=\text{Map}(S^1,BU(n))$.