I’m a software engineer, not a physicist, but I’m not sure that makes sense for this. Heat does transfer much more quickly in oil than water, so it can cool something off more quickly, but oil can also get way hotter than water. That little bucket isn’t going to hold enough for a lot of thermal mass, so it’s pretty quickly going to get as hot as the lava (or as close as oil can get). Water turns to stream and boils off, so kind of caps the temp under normal conditions.
Plus if they’re doing sampling, I doubt they want the sample covered in oil.