You're probably using jet fuselage parts instead of rocket fuel tanks. Jet fuel is just that: just the fuel and no oxidizer. Chemical rocket engines work by performing a controlled reduction-oxidation (redox) reaction. When this reaction is energetic, it's communally referred to as burning.
You need both a reduction agent a.k.a. a fuel, and an oxidizing agent, a.k.a. an oxidizer. If we look at a common camp fire, we can easily see that the fuel is the wood that's being burned, but less obvious is that the oxidizer is atmospheric oxygen. Well, there's no atmosphere in space, so you have to bring your oxidizer with you, most commonly liquid oxygen.