Right, so its an insulated tube shaped device with a built in igniter that contains a mix of chemicals that will produce oxygen once the igniter heats the contents up to a high enough temperature to sustain a reaction.

There are a number of different chemical mixtures that are used in Oxygen candles. Generally, the mixture compromises two types of molecules. One that contains oxygen that will decompose at a high enough temperature, releasing the oxygen but lowering the temperature. And another that will react with the products of that decomposition to release heat in order to keep the temperature high enough to sustain the decomposition.

Turns out you can hold more oxygen per volume with one of these things compared to a pressurized cylinder of oxygen and the temps required to start them are high enough that they're relatively inert.