I believe that for the old Christmas lights, it was some volatile
solvent, on the order of ether or such plus a dye to generate the
desired color.

Whatever the liquid, it had a pretty low boiling point because although
the bulb that heated it got pretty hot, the liquid was in a sealed tube
which built up pressure as the liquid started to boil and the increased
pressure would raise the boiling point to a higher temperature than if
it were not pressurized.

Harvey Chao