I'm no greenie so I'm not going to say not to do it. But this is why it's not a good idea. The used oil has lots of contaminates in it, heavy metals from wearing parts and the byproducts of burning fuel that blew by the rings. Waste oil furnaces are suppose to only burn filtered used oil, the EPA doesn't check and most states just put the burden on the owner.
To safely remove the contaminates the temperatures needed are much higher than a homeowner could ever reach. And then the smoke is usually cleaned a second time to remove the ash.
But can you do it, sure you can. Is it a good idea, that depends, where is the ash likely to fall? If it's on your garden maybe it's not the best idea. If it's on the neighbor you don't like, well you be the judge.
To all those who say what's the difference between a car burning oil and burning a filter. A filter collects everything that's bad and keeps the oil clean. A filter is 3000 miles more contaminated than the oil. Secondly what would you say to your son or daughter if they pointed to someone else's bad actions as reason why it's OK they did something similar.
Would I do it, no. But I have a dump that take oil and filter free 1/4 mile from my work so it's a no brainer. If I had to burn a couple of gallons of gas to drive to where I could take them, maybe I would burn them too.