Are there substitutes for chain lubricant?
One option would be to use a cheap chain during winter and discard it in spring. 

Another would be to not have the chain be salted in the first place, try a hermetic chain guard system. 

If your bike doesnt have a dereailleur, you could try a chainrunner, but I have my doubts it protects against water getting into the lining. http://de.wikipedia.org/w/index.php?title=Datei:Chainrunner.JPG&amp;filetimestamp=20100223153843

The Teflon-based lubricants are pretty good in summer, but dont help in winter. 

Cooking oil is not suited for mechanical parts. (It chemically changes over time, contains acidity, etc)