Visited the 3985 UP Challenger in Ogden when it was there for Railroad days about 5 years ago. The engineer told me himself that it was a coal-fired loco when they restored it, and they wanted to preserve it as it was for posterity and display. Nebraska objected to the frequent prairie fires caused by the cinders when they ran through, so they converted it to oil.
Several of you have commented that oil was used in fire-prone areas, and here's confirmation of another example.
Bill