He first taught me the second word of the fire shout. I spent no souls to get it.
I already knew the three words he offered to teach after that.
I think all you did was to spend a soul when you did not have to.
I didn't know Yol before going to Paarthurnax. I learned it from the wall after he blasted it with fire, spent the soul and then learned a whole new word after Yol when he gave me the knowledge of "yol". I didn't waste a soul as normally he only teaches you yol and not the word after it. I was only supposed to learn Yol but because I spent a dragon soul right after reading the wall and right before he tried to teach me I ended up learning the second word upon leaving the mountain.
@omgod did you forget when he asks for you to speak to him as the dovah do? He then breathes fire on the dragon wall which teaches you fire breath and then asks you to use it against him since it had been so long since he had communicated in the way of the Dovah. So yes, he does teach you fire breath.