my oil lamp still has it's instructions and says not to use anything but regular lamp oil. I did a search for your question..and this is the answer that seemed to make the most sense to me
You can't use vegetable oil in an "oil lamp." Vegetable oil hydrocarbon chains are too long and complex to effectively burn. It can be used in diesel engines where a fine mist is mixed in with oxygen for combustion. This process is most effective when the glycerin is removed from the hydrocarbon. There simply is not enough surface area on a wick to effectively introduce oxygen and burning vegetable oil together.
In order for oil lamps to work, shorter and simpler hydrocarbons are used. Kerosene is 12-15 carbons of straight chain hydrocarbon. This lighter weight allows kerosene to partially vaporize, mix with oxygen, and combust near the wick. Vegetable oil comes in the form of triglycerides, or three fatty chains on a glycerin back. This means that the average molecule of oil weighs about 870 g/mol, not 210 g/mol for kerosene. As a result, it is much more difficult to get vegetable oil to vaporize off the wick for effective combustion. You'll need the temperatures of a combustion engine.
As a result, vegetable oil is not used in lamps without major smoking and rapid fouling of the wick.