[Butcher]

I don't think that would work too well. Convection of the oil is unlikely to move the heat away from componentes fast enough.
However you could pump oil through the psu and cool it using a radiator. that has been done before with good results.

Note: you may need to seal some of the components against oil penetration - capacitors in particular don't react well the being submerged in oil for prolonged periods.