Not all the ground is filled with ground water. It depends on the terrain. A lot of the coal in these mines are above the ground water table so the coal will be dry and allowed to burn. Oxygen is indeed a problem. The heat does create some convection currents as it rises up through cracks acting as natural vents sucking more oxygen into the fire from the sides. But this is a fairly slow process. This means that the coal will be burning very slowly as there is not a lot of oxygen available. But for the same reasons the heat will take a long time to escape from the fire. So even without oxygen the coal seam does not cool down. That means that the fire will still burn with the little oxygen it gets. It is kind of like how you can get a fire to flair up by blowing air into it but if you blow too much air into it you end up blowing it out. In the case of the underground coal fires there just is not enough air to blow it out and it will continue to burn.
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