Back in the day when I was a complete air rifle anorak, I did some testing with using pellet lube and found it improved velocity consistency shot-to-shot, but only when an absolutely tiny amount of oil was applied.

The best method I found was to put two drops of lube into a ziploc bag, spread it all around the inside, then add a tin of pellets and gently move them around for a few minutes. Most of the two drops was left in the bag.