Can my circuit be submersed in oil?
Why are you immersing your assembly in oil? The only reason I can think of is that you intend to submerge it. So, I'll work on that assumption.
First, any component that has an airspace is a problem. All those airspaces need to be filled with the fluid to balance pressure.
Knowing this, and knowing how most electrolytics are made (they're layer stacks rolled up in a case), I would not trust any electrolytic cap to be submerged in oil, let alone high pressure, unless the manufacturer rated it that way for the specific fluid you intend to use.
All your plastics - boards, connectors, other assemblies - need to be compatible with the fluid, again you need to check with the manufacturers. For connectors there are specific types marketed for pressure-balance immersion that are compatible with oil.
Finally, I wouldn't trust conformal coating to protect your board if it's under pressure. Trapped air bubbles in the coating could collapse. It also makes the assembly impossible to do component-level test and repair. You might not care, but the entity who has to maintain the equipment will.