Olive Oil contains very little omega 3's, which is exactly what you are trying to add by using a fatty acid supplement, i.e to help remedy skin and fur problems such as allergies, dry skin, hair loss, itch, scalp, and dull fur.
Olive oil contains a smattering of omega 6's, but it is primarily composed of omega 9 heavy oleic acid, and omega 9's are not even classed as essential fatty acids.
Most cat diets are heavy on the omega 6's (as are most humans) and if not balanced by a proper ratio of omega 3's degenerative health issues will begin to surface. The omega 3's also stimulate the immune system and act as an antioxidant.
You need the omega 3's, primarily because that is where you find the fatty acids called EPA and DHA which are only found in fish. For cats I like salmon oils (cod liver oil is very high in Vitamin A- dangerously so), or even better yet a blend that is higher in omega 3's like "Missing Link". Using a higher proportion of omega 3's, especially in the initial phase of supplementation, gets the body back into balance after a typical diet that emphasizes omega 6's.
So no, I wouldn't consider using olive oil.
Whatever oil supplement you choose, the source and processing process are crucial to it being a beneficial food supplement and not a detriment. Many manufactured fish oils are heavily contaminated with mercury, PCB's and dioxin, as well as industrial pollutants from the manufacturing process. Buying cold pressed oils are the first step in finding a good, healthy oil source. I don't consider 90% of the "fish oil" capsules to be deccent quality- you have to read the labels with an eye towards how they are manufactured.
It is a fascinating topic- balanced fatty acid supplements are IMO the most important supplement for cats eating commercially prepared diets, and their human friends, too.