It is a funny story! You can find it in chapter 57 of The Innocents Abroad. The hotel was called “Benton House” and the description of his stay there is hilarious.
I stopped at the Benton House. It used to be a good hotel, but that proves nothing--I used to be a good boy, for that matter. (Gutenberg)
He asks for several lights, because he wants to read, but he has a difficult time getting the porter to give him a light and keep it lit, and to be able to get the books he needs. The hotel staff seems to find his needs amusing, and apparently unreasonable. After all, why would a hotel guest want to read books and have a light?