Just to add on a few things... What you want to undertake is not very safe. Using ignition coils from automobiles will most likely not get you anywhere to the voltages you are looking for. They will have a breakdown at about 30% over their voltage rating. Ignition coils must be pulse driven, which is also dangerous for handling. If you feed one a sign wave, it will not last very long.
Oil used in the power distribution transformers is a very pure form, and must be in an isolated environment where there is no contamination. The transformer device must be very well sealed, and not allow for external oxygen from the outside atmosphere.
The proper transformers for this type of voltage output are very expensive, heavy, and dangerous to handle. I would doubt very much that the suppliers would even sell you a power distribution transformer, unless you were working with an authorized engineering consultant, and licensed technical staff, that are approved by the state or country you are in.
As I said in a previous posting, kerosene is a fuel, and canola oil are also very dangerous for fire. An oil fire is difficult to put out if you cause one. Mineral oil can be purchased at a pharmacy (drugstore or chemist ship).
I have seen the results of oil filled transformers that have burned up. This is a disaster when it happens! I would not start this type of experimentation at home. It should be done in a proper safe environment under experienced supervision.
If you do this at home, first find out if your insurance company will cover you, and that you have good family medical coverage (maybe worse coverage will be necessary). Also enquire about the legal aspect in your area. If something happens and you survive, you can be held responsible.