I did a lot of research on this a while back.

You can actually buy mineral oil cooling rigs online.

The problem with cooling with oil is that oil doesn't absorb heat as readily as water or the cooling liquid specifically designed for PC cooling.

Also, it takes a very strong pump to circulate oil through a heat exchanger -- you can't just use a pump designed for water, or if you are able to the pump will have a very short useful life.

Next to cryogenic cooling, oil cooling is probably the most expensive and troublesome type of cooling you can use.