Daddy Bear: I've used the Danish Natural and Teak Natural and they penetrated about the same, i.e., gave me the same weight gain. Also turned out about the same color, i.e., natural.
Watco doesn't make the colors I prefer either. I wanted to make up a batch of black shafts so I tried mixing 8 ounces of Minwax oil based ebony stain with the Watco natural oil. Both oils, figured they should have worked together. Got the same amount of weight gain, but the stain didn't take to the shafts very well. However, I was using ACME premiums, which have a very polished exterior which doesn't take stain particularly well.
Haven't tried the alcohol or water based aniline dyes before soaking in watco oil. However, I don't think it would work that well. The dye I have was a powder which was mixed with alcohol. Seems that powder, as it dries in the wood, would fill the pores just like an oil based stain would. Probably only the carrier that's different. I have used the dye after soaking with Watco, and it doesn't work very well that way. Imparted a little color, but probably half or less than half strength.
Long story short, if you want to two-tone dye your shafts before soaking them in Watco oil, I doubt it's going to work very well. Would be interested in your results if you try it though.