There were several problems with oil in HOI3. The first and main one was that there was no tech necessary to unlock synthetic oil, it happened for every country automatically as a fraction of your total IC, so even countries like Tibet and Oman were awash in home-made synthetic oil, in addition to any natural oil production they might have. Second, the quantities which were produced were more than sufficient to fuel practically anything short of an all-mechanized army for any country, and you only needed to worry about running out if you were actively using large quantities of air and naval assets (Japan could run out if you worked at it). There was no need for Germany to worry about taking the Caucasus, dragging Romania into the Axis, or pursuing aims in the Middle East and North Africa, because the "all important" oil simply wasn't needed. As if that wasn't enough, you could stockpile more than enough before the war to last until the game's ending date, even if you did run a deficit when hostilities broke out; with no real use for cash reserves you could buy a bit of oil from several sources who essentially had few or no other buyers to compete with you.
HOI3 was a "historical war on rails", with the reasons for many of the historical strategic decisions removed, so the course of the war made little sense from a purely game-play perspective. The handling of Oil as a strategic concern (or the failure to handle it well) was one of the biggest offenders.