I hear people say:
"Mein lieber Scholli, das war knapp!"
What does "Scholli" mean in this context? Is using this idiom in any way offensive or insulting?
According to Duden Online
is a colloquial expression of astonishment, admiration or relief.
It's derived from the French word "joli" which means "pretty/cute" or "nice".
Nice Question, you never think about those if you are just familiar with them. de.wikipedia.org has another explanation: https://secure.wikimedia.org/wikipedia/de/wiki/Mein_lieber_Scholli
"Die andere Theorie besagt, dass Scholli auf eine reale Person zurückgeht, nämlich auf Ferdinand Joly" According to Wikipedia he was a vagrant in Austria who lived a very own kind of lifestyle.
And to your Question, no it would be in no way offensive to use this. Maybe some people would find it funny to hear a foreigner say this (even for German people this is not a common expression, at least not for my age).