That would be a wonderful idea. :)
I would suggest that when you are making the candle, wait for the wax to slightly harden and then add the clementine peels to the outer sides of the candle. Try to not get the peels close to the wick, because that could present a potential fire hazard.
You could really add anything you'd like to a candle, although leaves, flower petals, seeds, and herbs are commonly used.
If you would like to "go the extra mile" you could also research the correspondences and properties of whatever you decide to add, and then choose the specific correspondences that would be beneficial for the purpose of the candle. For example, you could add four leaf clovers to a candle designed to bring you luck.