Welding CO2 has to be very pure as a general rule in order to avoid contaminating the weld. The gas is used as a temporary shield to keep the weld clear of oxygen and other contaminants. Lubricant in this situation would be a disaster.

What you're thinking of is the CO2 used for propulsion in gas driven guns like BB's, pellets, and paint-balls. This gas often has synthetic oil mixed in to keep the moving parts of the guns lubricated.

TL;DR: Welding shop good, paint-ball shop bad.