Only if you want him to smell like salad. You can though, it won't hurt him. Just be prepared for a greasy hedgie.
Are you wanting to use olive oil for dry skin? You can put a few drops on his food for a couple weeks instead. Flaxseed oil also works well. I've been putting about 4 drops of flaxseed oil on Pig's food each night for about a week now and I'm already seeing improvement.
I fill the sink with warm water and put maybe a teaspoon of the oil in the water. Yes the oil doesn't mix with the water, but I think it lets you get a more even coating, than just dripping it on them. You will end up with a very greasy hedgie for a couple days, but their skin will be less dry. If they have tattered ears though I apply the oil directly to their ears.