Could you recount the story of how Maharaj lit lamps with water instead of oil in Shirdi?

Certainly. As Chapter 0 explains, Maharaj had a fondness for lighting many lamps in the Masjid and temples. He would typically collect oil from local grocers for this purpose. However, one day the grocers refused him, claiming they had no oil. Unperturbed by their refusal, Maharaj proceeded to fill the lamps with water. To the utter astonishment of the villagers who were watching and believed him to be mad, the lamps lit instantly when he touched them with a match and continued to burn throughout the night. This miracle demonstrated his divine power and caused the villagers to surrender to him and apologize for their prior disbelief and mistreatment.