Though not Lego by name, these building brick candles by P.A.D. make the most of the iconic toy's distinctive looks. The candle is comes in similar colours to the original brick, in red, yellow and blue, but are a lot more substantial at 19cm high. Each brick has eight wicks and is made from soy.
The cost also is quite different to a single Lego brick at $48 per candle and may discourage you from ever lighting it. Sadly that sum also doesn't include the toy figures pictured.