The term for glass colored with pigments is stained glass, not stain glass. Stained here is a participial adjective modifying the noun glass. Stain doesn’t function as an adjective, so it can’t modify glass.
Examples
When it’s a phrasal adjective preceding the noun it modifies (almost always window), the phrase has a hyphen between stained and glass—for example:
Judge Robert Main Jr. on Thursday unveiled a stained-glass map of Saranac Lake that he commissioned. [The Adirondack Daily Enterprise]
On the table at the back, opposite the glowing stained-glass arc of Bolton Parish Church, lay some of the mementoes of Nat Lofthouse’s hard-fought, glory-filled life and career. [Daily Mail]
When stained glass is a noun phrase (with stained as an adjective modifying the noun glass), there is no hyphen—for example:
She’s from Albany, Ore., and she sells stained glass. [The News Tribune]
Behind it on another table was an intricate piece of stained glass, its center decorated with a moon and star. [Star News Online]