The oil massage may feel more relaxing, but it also has benefits such as targeting the little knots in your back and around your body, making it easier for your masseuse to run her hands over your skin and find the tough spots.
The Thai massage is more a a rigurous massage and a great stretch, improving your flexibility and virtually giving your body a 'work out'.
Both have their health benefits, and both have their place IMO...
OP - nothing to stop you doing oil and Thai massage on alternate days. This can work well