Since these crustaceans have little fat, can I make scented oils by boiling them in oil?

I wouldn't boil them, they would just deep fry imparting little of their scent. Maybe try a slow cooker with your crustaceans and keep it at a low heat.

Since lobsters, crayfish and shrimp don’t have any fat, to speak of, how are lobster, crayfish and shrimp oils made? I see them offered at many trapper supply dealers.

I thought they were synthetic but dont quote me. Thought shellfish is too.

shellfish is synthetic