It might be expensive, but it barely uses any quantity of lube either.
Maybe try some kind of a vegetable oil, since one of the oils they (Trico) offer is vegetable base. Vegetable oils do tend to oxidize over time, which will plug the nozzle. But with a small drill, you can clean the nozzle ocassionally by hand.
As for your question about harming the system with other chemicals, it is basically a venturi siphon, so there is only the tank, the plastic tubing and the nozzle in contact with the lube, so there is not a lot that will go wrong in case you need to replace something. I would stick with the less volatile, light weight lubricants though. You do get quite a lot of air flow, and you don't need nor want a lot of stink in the area you are working.