Thanks for writing to health care magic.
I am yet to see in my experience as a pediatrician
any baby having reactions to simple coconut oil application. But if there are any other ingredients in that oil like perfumes or colors added to it they can cause problems.
Excessive cry can be caused by several causes in babies.
A complete head to toe examination is required to arrive at a diagnosis. Some times the cause could be a simple one. A baby may cry because she wants to be taken care of or lifted up. Some times the cause could be a serious one requiring urgent medical care.
Hope this helps.