Indoor localisation is the state-of-the-art to identify and observe a moving human or object inside a building. Location Fingerprinting is a cost-effective software-based solution utilising the built-in wireless signal of the building to estimate the most probable position of a real-time signal data. In this paper, we apply the Conformal Prediction (CP) algorithm to further enhance the Fingerprinting method. We design a new nonconformity measure with the Weighted K-nearest neighbours (W-KNN) as the underlying algorithm. Empirical results show good performance of the CP algorithm.