Another possibility was that it was a pocket hand warmer. These were very common at the time, and burned a flammable fluid to heat a ceramic and metal flask-like object.
I'm kinda surprised no one has mentioned this...
http://www.trademe.co.nz/Antiques-collectables/Other/auction-324175210.htm
I'm kinda surprised no one has mentioned this...
http://www.trademe.co.nz/Antiques-collectables/Other/auction-324175210.htm