As stated earlier, these 'tusk candles' are probably animal horns filled with wax and a wick. After all, it would be easy to make without making a mess and the horns could be refilled with wax and a new wick once it runs out.
Animal horns like the ones from cows and goats are hollow, but tusks just wouldn't do as those are not hollow and it would be a tedious task to hollow them out.
In my opinion it's a pretty ingenious way to fill animal horns with wax for use as a lightsource that don't make messy wax stains on the floor, furniture or drip on your head