Oil is oil but used oil can be hard on the injectors and the injection pumps. It's full of carbon as well as other containments including additives and anything over 25 microns can cause damage. If you want to burn old engine oil I'd run it through a 10 micron fuel filter and mix is with diesel fuel to insure its viscosity, flash and pour points stay close to that of diesel.
I've considered doing the same thing in mine but don't have an electric FP with a filter head attached to run the oil through on it's way to the tank.

There are some oil bypass systems that run a small portion of the engine oil into the flue system to be burned. They all look like gimmicks to me.

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Mad_Matt's Current Stable:
Oil Burners:
09 Jetta TDI The highway queen @ 105k
83 300D. Sold
Gassers:
16 A4 sport line
10 Passat
83 Recaro Trans AM WS6 Bone Stock Survivor
11 Harley Ultra