Calvary upgrading into landships was a liberty taken from the fact that Calvary itself is pretty dang useless if you wait for the historical path to play through, where it wasn't considered obsolete on the battlefield until after World War II, where you'd have to hang onto calv. into the late atomic age until getting access to Helicopter Gunships like it upgraded into in previous Civs.
Instead, lancers get the distinction of lasting far longer into the game then you'd really think they should; Long enough that you might just be tempted to
lead them into a cavalry charge against a tank and be done with it, rather then wait for those silly AT guns to finally come online.
As for tanks without oil being a thing:
Yes, yes they were indeed, and oil just made it possible to actually
field them in any practical way. Evidently, early steam tanks of the type showing up in Smokey Skies were based off a real vehicle, a bit one that was introduced after the combustion engine existed, but didn't use said engine itself;
(Though they did use kerosene, which itself was a type of oil; perhaps why land ironclads don't need coal during the scenario.)
GWInf becoming WWInf in a single tech makes more sense in epic scaled matches, where it usually takes 20 turns; roughly the amount of years between the first and second World War. My main beef with infantry is the fact that they're stronger then landships; as tough as tanks, in fact!