The first two pictures are a cheap candle and the next two are form a more expensive Black Cat cadle with multiple effects. As you can see, both have a fuse going down the length with each effect having a small blackpowder lift charge to fire and ignite the effect and a layer of sawdust to seperate each shot.

Outside of cheap candle:

Inside cheap candle:

Outside Black Cat candle:

Inside - Notice plastic tubes as well as regular stars for varied effects: