I would first be concerned that the liquid paraffin would plasticize or outright dissolve the polyethylene. Most commercially available polyethylene is not crosslinked, meaning that rather than swelling with a liquid like a crosslinked polymer would and becoming a gel, the polyethylene bag would simply fail.
The polyurethane is more likely to be crosslinked, so material failure is not as big a concern. Polyurethanes are made from toxic monomers, though, so any unreacted starting material left in the finished plastic could be leached out by the paraffin and be a problem.
Of course, commercial plastics often have additives like colors, plasticizers, etc. that can be toxic. For an item like a Camelbak bladder, this is less of a concern because they are intended to carry potable water, but there still might be compounds present that are leached out by paraffin (very nonpolar solvent) and not by water (very polar solvent).
I'm curious as to why you want to store paraffin this way. You'd probably have much better luck in a high-density polyethylene or polypropylene container, or use glass or metal.