The other week I remember reading a thread where someone had used olive oil to treat a bat they had refurbed (sorry can't find it). I remember the idea of olive oil not sitting right in my mind so I decided to look into it and found this information from a woodworking site.
"...Oils can be separated into those which cure or set and those which always stay liquid. The ones which set are best partly because a cured oil protects the wood better, waterproofing the surface and not washing out, but also because an oil that always stays liquid like olive for instance can go rancid.
The three most common oils which set on their own are linseed, walnut and tung oil. Linseed and walnut have both been used as the carrier oil in oil paintings from the middle ages and it is the oil curing which sets the paint. Tung oil, made from a tropical nut, is commonly used in commercial finished like danish oil which is basically a mix of tung oil (expensive) with white spirit (cheap) the white spirit makes the oil thinner and helps it penetrate the wood. Warming the oil has the same effect but without adding unpleasant chemicals. "
So it turns out that olive oil is not a great idea but walnut oil might be if you require an emergency oiling and are caught short.