This is most probably because the Wick/Stone assembly has not been fitted into the lamp correctly. If the collar of the Wick/Stone assembly is not fully inserted into your lamp, the oil will slowly evaporate. This can also happen if the snuffer cap is not fully pushed down to cover the stone. Remove the Wick/Stone assembly and check that there is oil in your lamp, topping up if necessary. Replace the Wick/Stone assembly, ensuring the collar is fully inserted into the neck. Put on the snuffer cap and leave for 20-30 minutes to prime before using.