Ice lanterns are how the Ice Festival in Harbin, China started. Nowadays they mostly cut large blocks of ice from the river, then sculpt them and put electric lights inside, but in the past you would put a bucket of water outside to partially freeze, chisel open the top, pour the unfrozen water out and put a candle inside. They had a practical purpose in that they would function like hurricane lamps and wouldn't be blown out by the wind. Apart from the candle, they were also free, so poorer people would use them or bring them to festivals if they couldn't afford a real lantern.
If you want to make this kind of lamp, it's better to use boiled water as the ice will be clearer.