Activated charcoal filtering is what I've heard over the years, never delved deep in it because I've never had any qualms with the modern gun oils, from what I've read and with people I've talked to the sperm/jojoba is the thing to use on fine watches and such, both actually being a liquid wax, not an oil, of course true sperm oil comes from the head of said creature and what little I've been around many years ago (my Uncles Dad was a watch repairman/jeweler among his many talents) and it had no fishy smell which is validated in what I have read in recent days.
What is called whale oil had a fishy smell although I've never been around this, this was rendered from the fat/blubber of the body of any species unlucky enough to get harpooned, this was your basic lamp oil and not much else.
BTW certain natives of the Arctic are still allowed to take limited bowhead whales and I have an Inuit friend who lives in a village on the Arctic Circle and he shared some wonderful pictures last spring of the hunters in his village in their skin boats, and the kill pictures along with butchering of the bowhead hand harpooned. A lot of the blubber is still rendered into oil and is carried by the seal hunters out on the ice pack and is used for lamp oil as well as it can be used as an emergency ration, something that can't be done with kerosene. Yes the still build igglos to stay the night when out on the ice pack.