@literally45-- You might want to ask a professional about this. I believe henna oil can be added in small amounts to the paste to improve color. It can also be used after removing the henna paste, directly over skin to make sure that the design lasts longer.
Actually, any type of oil can be used for this purpose, to protect the color of the design later. So I'm assuming that henna oil is actually added to the paste to make it more effective.