Varies. It always used to be denatured alcohol (easily detectable by the smell) in older ones. Newer compasses seem to use either white kerosene (central heating fuel oil works well) or thin silicone fluid.
One thing I learned whilst trying to refill one years ago was that it is extremely important to know EXACTLY which fluid was used in that particular make and model of compass. I used kerosene in one designed to take denatured alcohol once, and watched in horror as the numbers floated off the dial...................
VP