I’ll chime in what comes to mind, since people don’t really talk about the technicality here. I’m not sure how much is common knowledge and how much is more specific information but just some thoughts.
One of the first things that you should keep in mind is that “saturated fat” is not a very specific description. It is a colloquial term for saturated fatty acids. In (cooking) oil, these are predominantly found in a form called triglycerides. This is a glycerine backbone with three fatty acids that are connected via a covalent bond. So it is a molecule, not some loose attachment. (There are free fatty acids, but they are usually removed in raffination, since they are bad for quality. There is even a specific value that measures the content of these free fatty acids in oil, the higher, the worse the quality.) A triglyceride therefore looks somewhat like ‘-,-’ with the vertical lines being the acids and the - being the backbone. Depending on the acids, the molecule takes .ore or less funky stereo shapes.
There are many different saturated fatty acids, monounsaturated, polyunsaturated fatty acids. They come in different lengths with the “unsaturation” at different places. If you take a specific oil - i.e. peanut oil - and look up its content you will find percentage ranges of different fatty acid or triglyceride contents. Because every batch of every oil is a new mixture with different contents of fatty acids and also, and especially, different triglycerides. A lot of it is stochastic, but there is some logic in that. For example, the middle position tends to be an unsaturated fatty acid, the outer ones saturated. Or sat-unsat-unsat, if you really go for it. Yes, there are triglycerides containing only saturated fatty acids. (MCT are actually quite popular for different reasons.) But mostly it is a mix. I’m not even sure if there are triple polyunsaturated fatty acid triglycerides, I think these are rare in natural oils.
Now, to remove all the saturated fatty acids, you would have to do harsh chemical treatment on all the triglycerides and actually split the molecule. You can do this, among other methods, by making soap, or making fatty acid methyl esters. Then you can remove all the saturated fatty acids. And then you can use the others to rebuild the bond with the glycerine. (You can, in theory, also make specific combinations of fatty acids in triglycerides. But we are talking about lab grade stuff here.)
Most people who want a healthy oil would not want this kind of harsh chemical treatment of their oil (think virgin olive oil). But apart from that: a triglyceride made solely of (poly)unsaturated fatty acids, let alone an oil made of these, would be not very stable or usable. Apart from maybe unfreezing small amounts and then using it in a salad you would hardly have any use for it. I also cannot, for the love of God, imagine the taste. The type of fatty acid and its position in the molecule largely determines the physical behavior of oils and are not just contributing, but basically creating quality aspects such as mouth feel, lightness, melting point or crystallization. Your best bet would be to make a supplement with that, not to use it as an actual ingredient in food.