How about some documentation---and not from Terry Nichols' brother, but from a federal source? Sounds to me like an urban legend, like "no Jews were in the WTC on 9/11."
This was reported in the broadcast news immediately after the bombing; I remember hearing it. I doubt that there are "federal sources" that are readily available to a casual search, but I will pass on a few non-federal references for your benefit. It was one of the findings of the Key Commission, headed by former Oklahoma state representative Charles Key, as quoted below. To be fair, the Grand Jury that was impaneled based on the Key Commission's report issued a finding that ATF employees were, in fact, present at the Murrah building the day of the bombing; then again, the Grand Jury's findings have been found to be controversial in other matters as well.
I have to confess, researching this on Google was something of an eye-opener...the only sites that referenced it had a definite right-wing tabloid feel to them, starting with WorldNet Daily at the top end and diving right down into the ultra-right weirdo underground. References to this from more reputable sources, such as the website for the NPR outlet on which I originally heard it, seem to have dried up.
http://www.serendipity.li/more/okb3.html
"Glen Wilburn and his wife Kathy, who lost two grand children in the daycare center of the federal building, joined Key in the petitioning to have the County Grand Jury impaneled.
Wilburn has also conducted an extensive investigation into the Oklahoma City bombing. Wilburn stated, "The many witnesses in Kansas, Northern Oklahoma and in Oklahoma City who saw Timothy McVeigh driving the Ryder truck, and in the company of several individuals, have not been allowed to give their testimony yet. The reason we believe that the ATF offices were conspicuously absent that morning of the bombing, is because there was a federal sting operation being conducted the night before of which the ATF lost control.
http://www.federalobserver.com/archive.php?aid=4225
"In the wake of the '95 bombing, questions were raised as to why there were no ATF field agents killed or injured in the attack that left 168 dead - including 19 toddlers as young as a 1-year-old.
Similar questions arose as to why no one from the Federal Protective Service was present when the bomb detonated.
A Gazette investigation uncovered information that the head of the Federal Protective Service at the Murrah building had an office near that daycare, but was spared because he was not on duty when the bomb went off.
Conflicting records from the government present a hazy picture of the security situation in place that morning.
A response to a Freedom of Information Act (FOIA) request reports the security officer was not on duty because he called in sick. But other records received through the FOIA Act show the man was in fact paid for 12 hours of work on April 19, 1995.
Last summer this reporter and Gazette publisher Bruce Willingham went to the man's house, hoping to clear up this issue. No one would answer the door and repeated phone calls inquiring about security at the federal building went unreturned."
http://www.worldnetdaily.com/news/article.asp?ARTICLE_ID=22888
"ATF absent from Murrah Building
According to the Key commission's report, several witnesses reported that ATF agents were not in the Murrah Building the morning of the bombing because, as some alleged, agents had been warned ahead of time to stay out.
Tiffany Bible, a paramedic with OKC's Emergency Medical Services Authority -- the city's ambulance service -- arrived four to five minutes after the bombing, she told the commission.
"She recalls having thought that there must have been a natural gas line explosion," the report said. "She approached an entrance to the building where an ATF agent was standing and asked how a gas line explosion could do that much damage. The agent replied that it was the result of a car bomb."
Bible "expressed concern" to the agent, the report said, "because there were fellow agents of his in the building. The agent responded by saying, 'No, we weren't in there today.'"
Another witness, Bruce Shaw -- whose wife worked in the Murrah Building at the Federal Credit Union -- testified that another ATF agent said "agents were tipped on their pagers not to come into the office that morning," the report said."