im not 100% sure on the natural ones. but i know candles are usually a no no because of smells and fumes... and also heard that the wick has lead in it in antique candles for sure not sure on new ones.
If the candles are scented with essential oils they are unsafe. If you do use any candles try to get good quality unscented candles. I would avoid discount store candles because the wicks are more apt to contain poorer quality materials that would inclead lead.