A Star-K discussion of challah states:
If one bakes without using any water, but rather bakes using only fruit juice or vegetable oil, a bracha is not recited and one cannot burn the Challah.
Due to the complexity regarding this halacha, the Shulchan Aruch advises that one should always use water when baking a shiur hachayav b’challah.
The reason is as follows: Challah can only be burned when it is tamai (impure). To become tamai, it must first become “muchsher L’kabel tumah.” This means water or other specific liquids have come in contact with the challah. If none of these specified liquids are used, the challah can never become tamai and therefore can not be burned and a bracha is not recited.
Why must challah be tamai when it is burned?