The Answer is Yes... in fact, the Grand Canyon Railway ran 4960 with Waste Vegetable Oil last September to very good results... In addition, the grease came from Xanterra's (GCR's Parent Company) properties at the South Rim (El Tovar, etc..) and the Railroad's Restaurant in WMS.
My Friends there said it worked well, it does have a lower heat value than even diesel burned in the firebox, but it does the job...