[TRP]

The reason for using coal in the UK was because there were such plentiful supplies here.
Oil-firing was common in some parts of the world where oil was more readily available and is said to be at least as efficient as coal.
Early US practice was to burn wood as that was the most readily available, but also later used coal and oil in some parts of the country.
I'm no expert, but from what I have read, it seems that coal & wood produce roughly the same amount of heat per pound, but heavy coal (anthracite) is up to twice as heavy as hard wood and therefore burns for longer (up to twice as long) making it up to twice as efficient. (Someone correct me if I've got this wrong!)
Oil-firing could possibly work in theory, but requires conversion of the locomotive and their refuelling points and requires a plentiful supply of oil. There have been instances where British based steam locomotive have been converted to oil-firing at times of national coal shortages. I believe the Festiniog Railway run most, if not all, of their fleet on oil.
I have also read that a company is experimenting with recycled fuel pellets.
I don't know if any of these would ever be a viable alternative here in the UK, once cost and the availability of the alternative fuels, and the cost of any necessary conversions and the installation of new refuelling points, are taken into consideration.

Tony