Fire is definitely possible without oxygen. Like in a chlorine atmosphere, for example.

Combustible compounds react with oxygen to form lower energy oxidized compounds. Carbon is oxidized to carbon dioxide. A fully oxidized compound can’t be further oxidized under normal conditions.

Water is the most oxidized form of hydrogen. It can’t be further oxidized under normal conditions, hence why it’s not combustible.

Methane is the most reduced for of carbon, so it really wants to be oxidized. Carbon monoxide is only partially oxidized, so it’s still flammable.

I mean there is some stuff that makes water flammabe. What was it again? Pretty nasty stuff, that explodes if it touches anything. It’s an acid i think?