What chemicals are you speaking of for paraffin? All wax raw materials have to go through processing in order for it to become usable as candle wax, and no one way is better than another.
When a candle is made right, they will burn "clean" - I use the parenthesis because all candles, no matter the type of wax will emit soot - all - no matter what. How much soot is determined by how it's made, the type of wax will determine the soot color.
There are several other options such as Palm, coconut wax, etc., The best thing do do would probably take a look at some candlemaking companies and see what is available that you are comfortable with using.