In reply to tony forster:
I cannot recommend a specific shop because it's about fifteen years since I last went to Mallorca on a self-supported hiking tour. At the time, I took my MSR XGK and allowed a couple of days in Palma for sightseeing and shopping for supplies including fuel. Eventually, after asking in a hardware store, I was directed to a "Carbonería" where I asked for "petróleo" and was supplied with very good quality clear paraffin. It can be done but you will need some time to explore the smaller shops in the back streets.