Signal lamp of some sort. But this is the inner case only, and would contain the oil reservoir and wick holder as a further sub assembly. (Your last photo?) There would be a permanent outer casing mounted on the signal post that this unit would drop into. Lens faces forward to concentrate the light through the coloured spectacles, the oblong window provides the 'backlight' where needed. Would be painted black all over.
There was often a vent cover arranged to take effect when the handle was lifted up to protect the carrier's hand from the hot gases coming off the flame and to reduce the chance of a strong wind blowing out the flame.
(Most signal lamps have the lens mounted in the outer case - possible advantage of this variant is that the lens can be cleaned each week when refilling takes place.)
Additional Information: "The Lamp Manufacturing and Railway Supplies Ltd" was, in the 1940s, based in London at River Plate House, 12/13 South Place, EC2. (just off Moorgate/Finsbury Pavement). They were a well-established company, particularly noted for their "Adlake" signal lamp which came in both oil-fired and electrically lit versions.
