Well, I use Titebond glue and it doesn't adhere too well to wood with oil or finish on it but, everyone else seem to think that Aleens glue will stick to most finishes so, go for it. Just make sure the oil is as dry as possible.
If I were to do that, I would probably assemble it with the glue first, wipe on, dip, brush, or spray the oil on, let it dry and then spray with the lacquer.
Someone else will be along soon and tell you the correct way to do the job.
Rog
PS. Even if you should miss a corner or two with the oil, I'll bet you a dollar to a doughnut that you or anyone else will ever notice it once the project is finished.