I have done this, but a looong time ago.
I used some fairly sloppy ptfe grease and mixed it with a bit of the rubber solution you get in puncture kits, to make it stick to the chain.
Worked very well actually!
I have used engine oil, didn’t last as long as Finish Line wet tho.
Oils are quite complicated things, and chain lube has to be good at a fair few things. It has to stick to the chain but not to crud, it has to resist washing off and it has to not degrade in sunlight/water – at the same time as having good resistance to pressure.
If you just wanna randomly guess if an oil engineered for one situation will do well in a completely different situation, go ahead, you might get lucky 🙂 But for me a 5.99 bottle of lube lasts seemingly for years. I’ve got more lube as freebies than I’ve ever bought, I reckon.