From what I've read about miniature locomotives, I suspect that coal won't work. You can't build a model with a long enough funnel to give sufficient draft, so some sort of blower is needed. Another problem is that, from what I've read, a coal fire needs attention to the amount and shape of the fire - hard to do in an R/C boat.
Gas, OTOH, is an ideal fuel. No draft considerations - other than making sure the fire has a fresh air supply, and it's a 'fire and forget' sort of system. You're good to go once pressure is up, until the water or gas runs low.
I'm sure that some of our fellow Mayhemers can provide more in-depth advice.
Tom