There are actually several substances that will burn handily underwater. Magnesium for one. Don't know about candles that would last more than 2 seconds, since most of those substances burn quite quickly.
In the end it still comes down to "It's Pinkie Pie".
Call upon the Sea-Pinkie when you feel depressed, Helpful as can be Pinkie. Will she make you smile? Yes! If you suffer deep malaise or find your life a bore, Count upon the Sea-Pinkie to make your spirits soar!
They could be custom made Pinkie Candles. Instead of wax, inside each candle is a hydroelectric generator, filtering the water and splitting the water molecules back to hydrogen and oxygen states separately, feeding the oxygen to a small sparker that forces the flames through a tiny tube, the "wick". The water can't put it out fast enough.
Fire under water! Bamf!
All nerdness aside, this is a really awesome drawing! Seaponies don't get enough love.
I have to wonder if sea-pony Pinkie Pie was caused by this: [link] I wonder this because it was only after it was uploaded that I began to notice the images cropping up around the net. Mind if I ask who requested it?