It's of course possible to design engines to be oil cooled, though water-glycol tends to be preferred due to about twice the specific heat capacity, meaning smaller coolant channels, radiators, and fans are required.

Is it specific heat that we care about, or rate of heat transfer? Specific heat matters a bit, but if you make your coolant take twice the energy to change 1 degree, the same thing happens on the radiator side and you must release twice the heat to cool 1 degree.

Rate of heat transfer in general if probably more important.

I don't think it occurred to anyone in 1905 that a water/glycol mix might be good. They either used straight water with a warning to drain the engine when you shut down in cold weather so it didn't freeze, or they used oil. My 1939 tractor has instructions to start the engine and then pour water in the radiator when it is below freezing.