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.
True but nor does it need to. You keep the heatsinks on and you have a very much bigger surface ocntact than your typical waterblock.
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.
OIl is thick, so you will need to buy a much stronger pump than you would think if it were water, but if anything, it may live forever. If you submerge the pump it will be well cooled and perfectly lubricated all the time. You also dont need a high flow rate.