Pigment is the source of color, made by grinding colored stones into powder. Recently, however, because there are not many good natural stones available, pigments are often made "artificially" in factories.
In the past, factory pigments were made from coal, but nowadays they are mostly made from petroleum.
The petroleum pigment is then mixed with wax to form a crayon, which is then used to make a single crayon. Thus, crayons are made of petroleum and wax.
However, the crayons used by artists and the ordinary crayons you use are made in a slightly different way. The crayons used by artists do not contain wax. In other words, they are made of pigments only.
The reason why they do not contain wax is probably because painters do not want the color to be altered by wax, even if only slightly. However, the reason these crayons are not commonly used is that they are very soft and easy to break because they do not contain wax. They are very difficult for children to use.