There are a number of oil-fired leviathans - mainly sky destroyers (type 1s). The French have more oil-fired type 2s than most, but still we're talking handfuls.
There are four main barriers to going massively oil-fired in-game 1910:
- no infrastructure. Navies have just spent decades building up strategic coal stocks around the world.
- availability. The world production of 'rock oil' is (at this time) very small
- Use of coal bunkers as 'damage sinks'; you don't want to try this with oil tanks
- tradition. No "new-fangles smelly sticky rock oil on my skyship, thank you very much!"
The tide will turn - is beginning to turn, in fact - but (for example) it wasn't (IIRC) until the Queen Elizabeth classes that the Brits got full advantage from a crew- and space-efficient oil-fired rig.
W.