No, generally speaking oil and grain filler are incompatible. Both products work by filling in the pores of the wood, so using either will prevent the other from working as intended.
Grain Filler is for use on open-pored woods as preparation for Sanding Sealer, Lacquer and Paint spray finishes.
Oil is used on bare wood and both fills the pores and eventually saturates the wood giving the final top finish. Oil finishes are often finished with waxes such as beeswax and carnauba wax. Some products claim to be an oil grain filler, but this is simply a much thicker oil that fills the pores quickly, after which you apply a thinner finishing oil such as gun oil.