I'm not sure about Jukebox bubble lights, but I did some research on them for my cab way back. Turns out, they're filled with methylene chloride. It boils at a relatively low temp, so the heat from a lightbulb is enough to make it boil and bubble like that.
Some newer bubbling gizmos use distilled water and an airstone with airpump (use distilled water to avoid any crusty buildups, and to keep the bubble tube clear).
Apparently some older units did use a very lightweight oil, but I haven't found much about that.