Can you tell me the story about Sai Baba lighting lamps with water? Why did he have to do that?

Certainly. According to Chapter 5, Sai Baba had a great fondness for lighting lamps in the temple and mosque and would celebrate the festival of lights. He would go to the local grocers and oil-merchants himself to ask for oil. However, the shopkeepers grew tired of this daily request and conspired to refuse him. When they all said "no," Baba quietly returned to the mosque. He then took his tin pot, which had a tiny bit of oil, added water, drank it as an offering, and then filled the lamps with plain water. Miraculously, when he lit the wicks, the lamps burned brightly all night long, demonstrating his divine power to the astonished and repentant grocers.