Quoted:
The tuna packed in olive oil is much tastier (and thus is piled high and deep at Casa de Skibane) - However, not sure how well it burns compared to vegetable oil...
from wiki:
Fuels used for oil lamps depend on such variables as the location, time period and perhaps the reason for the lamp's use; ceremonial use of lamps for instance may require a particular oil or fragrance to be used. The main fuel in Western nations was olive oil in ancient Mediterranean cultures, though extracts from fish, crude fish oil, nuts, and cheese were also used. In much later times whale oil was favoured for its cleaner burning flame. Oozing crude petroleum was also used. The fuel was poured into the fuel reservoir via the pouring hole in the discus.
Castor oil was used by the ancient Egyptians. In Africa, carrot oil, peanut oil, mustard oil and nettle oil are used. Indian lamps, especially for use in puja, almost exclusively use ghee as fuel.
Among other fuels used have been coal oil and paraffin/kerosene in paraffin lamps (also called kerosene lamps and coal oil lamps). Oil lamps can use many other fuels including jathropa seed oil and biodiesel along with wvo, soybean oil, canola oil, hemp seed oil, sunflower seed oil, and olive oil.