Olive oil is among the healthiest oils, which is why it is suggested.
You may, however, use any seed or nut oil. Peanut oil, almond oil, sunflower, etc. I'd suggest not trying coconut, palm, or palm kernel, as these are reported not to require bile (and gall bladder activity) to digest and utilize -- and, besides, you'd probably have to melt them first (unless it's still pretty warm late in night in your neck of the woods).
Be aware that seed oils are often very highly processed, which tends to make the oil go rancid more easily, so I'd suggest an unprocessed (and organic) nut oil instead, if you can find it.