Using just olive oil as a candle could make the candle smokey. Also some essential oils like orange can smell like burnt fuel.
I'm not even sure what type of a wick would work for this. In the olden days, they used tallow for candles. It smoked.
I used to have some small oil lamps and the wicks were similar to those used in the old fashioned oil burning hurricane lamps. There was very little smoke, but the oil I used was specifically for oil lamps. I don't know how it would be with regular oils. I also had to keep the wicks very short (barely showing from the lamp).