A candle creates an upward draft of hot air, without which the flame would be spherical. The buoyancy generated is proportional to the density difference as well as the strength of gravity.
Suppose a candle was placed on a "planet" with an Earth-like atmosphere at "sea level" but with 1000 times Earths gravity. Such an atmosphere would be only a couple dozen meters thick! If the candle was then lit, would the flame's updraft blow itself out?