Take a candle. Place it in a tub. Light the candle and also fill the tub with some water. Cover the candle with an inverted glass. You will find that the candle blows out after burning for some time, and the water level inside the inverted glass rises up to some extent.
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The component, oxygen, of air inside the glass is used up in burning. Therefore, water occupies that space. This shows that air supports burning.