While it is possible to use vegetable oil in an oil candle, it is not to be recommended. Vegetable oil is a much more viscous, heavier oil, with a higher flashpoint than proper lamp oil.
The regular cotton wick supplied with most oil candles will not transport the vegetable oil up to the point of ignition at a fast enough rate to maintain a reasonable flame for longer than a couple of minutes. A much looser weave is necessary, and you must also ensure that the distance over which the oil needs to travel is an absolute minimum.
So what are the benefits of using olive oil for example? Well, it can be cheaper than good quality lamp oil, and it is not a hydrocarbon.
The disadvantages, apart from limited ability to climb the wick is that it burns at a relatively higher temperature than lamp oil, so degrades the cotton wick much more quickly. Also, when you blow it out, it makes your home smell like a chip shop!