Great idea Jules!
Great idea with the tissue paper, hadn't even thought of that!You know, 100 years ago, these are what they referred to with "witch lantern," rather than the goopy jars Pumpkinrot has inspired. They were especially popular in the 1920's, which is when most of my vintage ones were produced, apparently with most originating from Germany.
If vellum is too expensive and you've got a pattern that can be cut from cardstock easily, consider using orange gift wrap tissue paper which is fairly common in the dollar stores this time of year. Red works too. At least 1 in 4 of my vintage ones use red instead of orange. Green, white and purple make up a minority that together add up to maybe 10% of my vintage witch lanterns.