Are you talking about the standard oil sheen in those metal cans?
You don't want to try to open those, as they are under pressure and would likely explode if you did.
I actually thought about making my own oil sheen as well, after watching a cooking show. Martha Stewart was using a Misto, in which she put her own flavored oils in, and out came a fine mist of oil. If I am not mistaken, there is some type of pumping mechanism in it, that allows the oil to be pressurized.
There are a several versions out there of what the Misto is, an oil sprayer. I figured I could try to make my own oil sheen, and have full control of the ingredients I put in it, especially since so many are loaded with mineral oil.
Do a key word search on the internet, and you should be able to find one. That way, you could probably make your own oil sheen.
The only thing I wonder about, is whether or not the heavier oils such as castor, coconut, and others, will be able to spray easily out of the Misto.
Good luck. I will probably give it a try myself one day.