Any edible oil will work for an ancient style oil lamp. If you have a Kindle reader or reader program on your computer the following might be of interest for 99 cents. Even petroleum oils might work but I have no idea of the effect on the user of the current additive packages used for modern auto engine oils when burned in a lamp. From what I have read a modern automotive oil is 25% or more various additives. Sewing machine oil might work.
http://www.amazon.com/gp/product/B00KB7F9SU/ref=oh_aui_d_detailpage_o04\_?ie=UTF8&psc=1