Oils are lumped into a single category due to some unfortunate simplifications.
There is a lung condition that can be attributed to inhaling oils, but it is usually found in professional fire-eaters and is from inhaling vegetable or mineral oil. (It's a pretty bad thing and I think this is where the original warnings come from, but I don't know when all oils were lumped into the same category.)
Mint oils are usually OK. Wintergreen is a notable exception, but there are plenty of artificial, not really oil, versions. It takes such a small amount of mint oil to make the taste so tread lightly. There is some guy on here, Rolly-something-or-other, that vaped nothing but DIY mint oil flavored juice for like 9 months straight. (According to one of his posts many moons ago.) I think he was a manager or admin here on ECF some time later and I haven't heard that he had any problems with it.
I haven't seen anything bad come from folks extracting the oils from coffee and teas to make juice flavoring yet. Heck, I doubt the folks doing coffee and tea extractions realize the flavor of these things comes from the oils in them.
And you are correct, we're not usually mixing our flavorings in water so the fact that something doesn't mix with water doesn't mean that it won't mix with PG or VG. It could not mix worth-a-bean, but water solubility isn't too meaningful.