Paraffin, the primary ingredient of most modern spiritual candles, was only discovered in the 19th century; and it seems that just because it was known did not instantly make it the market leader. Lard and tallow candles continued to be used for a while yet, at least until lightbulbs made non-decorative candles a thing of the past.
If you want to try some old-school hoodoo, here's a recipe from the 1870s for wax for making lard candles:
Dissolve a quarter pound alum, and a quarter pound saltpeter, in a half pint of water on a slow fire; then take three pounds of lard cut into small pieces, and put into the pot with this solution, stirring it constantly over a very moderate fire until all the lard is dissolved; then let it simmer until all steam ceases to rise and remove it at once from the fire. If you leave it too long it will get discolored.
Lard is available at most groceries, and alum and saltpeter can be had with only a little trouble from many online retailers and occult shops. Obviously, be careful when making this -- the text specifies 'very moderate fire' for a reason!
Though modern-style colored candles only developed in the early 20th century, colored wax has been known since ancient times -- records even indicate that Egyptian temples used candles dyed red with alkanet. Nonetheless, coloring candles only became common once their function turned primarily decorative, rather than functional. You can add some modern wax pigments to the above wax recipe, or try to tint it old-style with natural botanicals like alkanet (red), turmeric (yellow), indigo (blue), anacardium nuts (black) -- I'd suspect the best way would be to tint the lard in advance by gently heating it with the pulverized botanicals, and letting it take the colors before mixing it as described in the above recipe.