I am not sure i have heard of olive oil being used for shaving before. Afaik in the older days people used soap, or before that just water. Olive oil is quite dangerous for a shave i would think, but even if it is not it surely is rather unpleasant to place on your face.
People did use to put olive oil in their hair, though, which can look quite good as some sort of hairgel-substitute (provided one has quite thick hair, obviously).