Vaginally, oil isn't really good for you (a few high-quality oil-based lubes are okay, like Yes lube, but it's pricey). Anally, it might be okay, but honestly it's probably better to use lubricants made for the purpose. When in doubt, play it safe.
Just because something is edible doesn't necessarily mean it can go elsewhere without consequence - sugar in the vagina causes yeast infections, for example. Also, avoid oil and oil-based lubes if you're planning to use condoms, as oil dissolves latex.