Paraffin wax is a petrochemical by-product, which when burned emits a black smoke similar to the exhaust gases of a diesel truck.
Paraffin wax starts life as the black sludge left over from petrol refining, to make the sludge into familiar paraffin wax it is bleached and texturised with carcinogenic chemicals. Then to make the candle look and smell nice the candle maker adds artificial colours and fragrances.
When burnt, the chemicals in the paraffin wax and the artificial colours and fragrances make for a heady mix of toxic gases. In confined spaces and where there is little ventilation these gases build up and will cause health problems.
Some candles have cotton wicks stiffened with lead, when these burn the lead is vaporised and can cause acute lead poisoning.