Heat chocolate, oil, and 3 Tbsp water in a double boiler, stirring, until just melted. Remove from heat and stir in vanilla and sea salt.
Transfer to an 8-inch baking dish and refrigerate until mixture is set but still pliable, about 2 hours.
Using a 1-inch scoop or melon baller, scoop out chocolate mixture and transfer to a parchment-lined baking sheet. Coat hands in cocoa and roll chocolate into balls. Refrigerate on parchment-lined baking sheet 10 minutes.
Truffles can be refrigerated in an airtight container up to two weeks. Let stand 30 minutes before rolling in cocoa or patting with nuts or shredded coconut.