There is a ointment on Amazon specifically for that, doesn't contain petroleum jelly. It's more of a cream, I have used it in the past but I tend to default to Vasoline even though you aren't supposed to. I hate to give Amazon anymore money but they also have pads you can put on the nasal cannula for over your ears, it's hard to get used to for some folks.
Another option is talking with your Doctor and making sure your script for the O2 machine is written with a humidifier. That way you will always have a dose of moisture when you are using it.