I remember that the instructions printed on the inside lid of the Ingrams "Perfex" enema ( a manufacturer of medical supplies in the UK) read ".. lubricate the nozzle well with petroleum jelly or best olive oil...", so I think that it is probably safe, albeit somewhat unsatisfactory for various reasons.
I am not sure when KY Jelly came onto the market, but Vaseline was certainly available, and the common product used. It certainly is my choice, as I agree with the comment that KY and similar formulations are too slippery. The only minor drawback I find is that not being water soluble, it is not as easy to remove. All in all, I tend to agree. Keep the olive oil for salad dressing.
I seem to remember that cold cream was also recommended as a possibility. Certainly many women would have had, and possibly still do have a jar amongst their make up items. I think it would need to be plain, and not scented. Vaseline stays where it is put and does not spread or run as easily as KY. I would also imagine that glycerine (medical purity) would do the job, although like olive oil, it is too liquid, and with an oily residue.
Vaseline is a commonly found household item, and would raise no eyebrows - and it is tried and tested, so it works. It would get my vote. I am not sure how you would get olive oil to stay on the nozzle, other than as a fine film, which would not really be optimal. Insertion of the nozzle is a special moment, so why make it an uncomfortable or painful one?
Delia