Not necessarily. It would depend on the volatility of the oil. IIRC, Oil and grease in a boiler will tend to break down and create a sludge.
Chances are that the air compressor that you are using is probably oil free. Nevertheless, I would check to make sure.
More than likely, the oil and grease that might be coming from your air compressor is probably negligible. In any event, what little might be getting into your boiler is probably being removed when you do your boiler washout during the 31 day inspection.