I was recommended coconut oil as a personal lubricant (by a friend), so have since successfully used it for a few years. It has great slip and handfeel, and if it happens to get on other body parts or hair, it is an oil that is proven to be more easily absorbed than other oils. The refined oil has less coconutty smell than the more expensive virgin coconut oil, so I would recommend that type over virgin.
However, there is no consensus as to the safety of this lubricant. Most casual sites that I reviewed state with some positivity that it is safe, with a few claiming it is not. The National Women's Health Network, as of February 2017, sites this lubricant's safety as unknown, so proceed with some caution, and perhaps your own continued research.
Regarding the absorbability of coconut oil vs a few other types, you can check out NIH's study here.