I had a hard time with my gag reflex when I was using coconut oil. I love the flavor of CO. I couldn't do it.
I switched to sesame oil and had a much easier time of it.
Also, someone here suggested that I tilt my head forward if I get gaggy, and that works very well for me too. In fact, I just kept my head tilted forward most of the pull and was fine.
I suspect you may have to try oils until you find one that works for you.