What is the origin of the word oleo and when did it turn into margarine ?

It didn't. According to Merriam-Webster and American Heritage, English borrowed the form oleomargarine ca. 1873 from French. The word margarine, from Greek, came before the compound French word. The stuff was always called officially oleomargarine when I was young (in the 40's) but we mostly shortened that to oleo.

In British English the butter substitute has always been 'margarine', at least as long as I can remember (a touch longer than you, Maiku!).

'Oleo', in the aviation world, is an aircraft landing gear leg, particularly one on a sizeable aircraft that is hydraulically damped.