Yeah that's what I was going to mention. It will work for a while, I would make sure to make as many components in there passive cooled, as those obviously don't generate quite as much heat as to need tons of air moving over it. In addition you will develop warm spots and without circulating the oil through a sink of some sort, the heat will not really go anywhere. I have seen it done and it is a very cool idea, I just don't have the extra system needed to do it with or the desire to dunk a PC in oil.
But yeah, if you do it and it's reliable, props. It'll be something to be proud of.