Oil is used to lubricate and seal large air compressors which are used in snow making. Some of it will atomize and be blown down the air line. That's why you shouldn't breathe straight from a compressor without filtering the air.
It probably does release a faint odor under flame heat. I can't see it doing much to the melting point and there isn't nearly enough for blackening, but TA explained these already.
Because the compressor has to start up in below 0 weather it's probably a low viscosity oil which would be even more prone to atomize once the compressor heats up than an oil intended to run across a narrower temp range.