I haven't tried it either, but I have a feeling that alcohol and oil wouldn't mix very well, nor would they stay mixed for long. I also find it pretty unlikely that I would have vegetable oil or alcohol available on me in a situation where there wasn't any wood around that I could use.
You might be able to use just the vegetable oil to make a makeshift oil lamp with a piece of string or cloth for a wick. It wouldn't be enough to cook on, but it would add a bit of warmth to a small shelter.