No, unless you bring an oxidizer with you
Considering just the chemistry, any oxidiser would work. Unfortunately there isn't any free oxidiser on such worlds.
There is in fact only one solar system body with known hydrocarbon lakes, that is Saturns moon Titan. And while it does have a lot of oxygen, that is all bound up in water ice. There is no free oxygen (or other oxidiser) in Titans atmosphere.
In general you shouldn't expect any free chemical fuel lying around on a celestial body. Chemical systems tend to move to an equilibrium at their lowest energy state, unless there is some mechanism that pushes them out of that equilibrium, like photosyntesising plants on earth. If there were any free oxygen in Titans atmosphere that would have reacted with the hydrocarbons billions of years ago (mediated by e.g. photodissociation in the atmosphere).
You also can't re-use oxygen or anything else without some other form of energy input. In the theoretical best case the energy that you gain from burning methane is exactly the same energy that you need to put in to extract the oxygen from the combustion result (CO₂ and water) and re-form the oxygen and methane. In practice you need to put in a lot more as such reactions are far from 100% efficient.