Can you tell me the story about how Sai Baba lit lamps using water after the shopkeepers refused to give him oil?

Yes, that is a well-known miracle of Sai Baba. According to Chapter 5, Baba had a great fondness for lighting lamps in the mosque and would go to shopkeepers daily to ask for oil. After some time, the grocers conspired to stop giving him free oil, viewing it as a nuisance. When they all refused him, Baba calmly returned to the mosque. As detailed in Chapter 5, he took his tin pot which contained a tiny bit of oil, poured water into it, drank it as an offering, and then filled the lamps with plain water. He then lit the wicks, and to the astonishment of the grocers, the lamps burned brightly all through the night, proving his divine power.