Is there any chemical that produces a white coloured flame when burning?

well magneseum burns white.

Think of white colored fireworks.

Like Observer said: Magnesium burns white. So does titanium.

Thermite makes you go blind, so... I would count that one too! Plus I think most things glow white at 3000 Celsius. At least there should be white glowing globs of molten iron...

Willie Peter? Is there a context?

That would be the military term for white phosphor

in my experience, White Phos is more of a gray/green fire than pure white.

 

Ti, Mg, Zr, Al, Ce make good white "Fire".

Do they burn with proper flames like wood or gas does?

not really, it all depends on their form (surface area is important).

 

Flames implies Gas, and for the most part it`s the metal itself that`s burning.