Until the introduction of electricity, house lights in the theatres would remain on, it being simply too time consuming to extinguish and relight the candles before and after a show. Kemble's new theatre burned 240 candles per night. The patent lamps he used were oil lamps. Here's a brief history of stage lighting around the time.

Well into the 18th century the lighting methods of the European theatre basically resembled the methods of 17th century theatre. The few lighting effects seen in the theatre were those painted on the scenery.
In England David Garrick, upon his return from Paris in 1765, introduced numerous 
stage reforms at the Drury Lane Theatre including the removal of the chandeliers from
 the stage and a strong emphasis on lights located beyond the proscenium arch. 
These included wing-lights and an improved version of footlights called 'floats'.
Philippe Jacques de Loutherbourg, who joined the Drury Lane Theatre in 1771 as 
Garrick's scenic designer, employed lighting to create spectacular scenic effects. 
He used colour media and light changes for atmospheric effects such as moonlight, 
fire, dawn, and so on. De Loutherbourg also used the most advanced light source 
of the period, the Argand burner, invented in 1782, in order to achieve brighter and
more effective illumination.

In 1782 the Swiss engineer Amie' Argand invented the Argand burner, which was 
the archetype for the kerosene lamp still in use today. The Argand burner however 
used oil instead of kerosene, which only came into wide use in 1859. The instrument 
included an oil receptacle and a glass cylinder in which the flame burned, protected, 
immensely reducing the danger of fire. The lamp was designed so that a supply of 
enriched oxygen entered through openings in the bottom of the lamp and flowed up
the cylinder and along the wick, feeding the flame. Coloured light for special theatrical 
effects was achieved by simply placing coloured glass in front of the light source.
Argand burners were introduced into the Odeon Theatre in Paris in 1784, when the 
Comedie Francaise premiered Le Marriage de Figaro. Within a short time these oil
lamps were adopted as the standard source of stage lighting all over Europe.
The first great revolution in stage lighting began in England with the introduction of gas lighting. In 1804, F. A. Winsor, an entrepreneur, took out a patent on a lighting apparatus based on gas. An English engineer, William Murdock, towards the end of the 18th century, had developed this practical method, which used coal gas for illumination. Interestingly enough, the first public demonstration, which Winsor gave of his new gaslight, was held in July 1804 at a theatre - the London Lyceum.
At first, gaslight was used only for illumination of the facade and entrances of the theatre.
Although the advantages of this new and powerful light source were obvious, it was thirteen years before gaslight was adopted on the stage of the Lyceum in August 1817.
The Lyceum was not the first theatre to introduce gaslight onto its stage - the Olympic Theatre preceded the Lyceum by introducing gaslight in October 1815.
The impact of gaslight on stage was dramatic and impressed the public and press of the period alike. The following account, given by Leigh Hunt, editor and critic at the Examiner, describes the possibilities inherent in gas lighting. After watching gaslit performances at the Covent Garden and the Drury Lane theatres, he wrote on September 7, 1818: "… can promise our readers much satisfaction with the gas-light, which is introduced not only in front of the stage, but at various compartments on each side: their effect, as they appear suddenly from the gloom, is like the striking of day light …".
The gaslight installation included footlights and winglights, but lacked lighting from above, on which Hunt commented: "… if the front light could be thrown, as daylight is, from above instead of below the effect would be perfect".