I'm mad at my girlfriend for buying me candy
I would be happy to get free candy from my girlfriend. What makes you mad about your girlfriend buying you candy?
She's buying too many candies and is going though it faster than me
You might not approve of all the candy she is eating, but you can't get mad at her giving you a gift.  If she is only buying candy for you so she can eat it, you should tell her you are trying to cut back and if she is understanding she will stop buying so much candy.
I already discussed with her and it doesn't seem like she will stop.
It sounds like she has an addiction to sweet stuff, or maybe it's psychological. I don't know what to do because eating so much sugar is very detrimental to the body. Maybe go to the gym together so she will think twice about eating unhealthy food?