This has always been a rather obscure point. Personally, I think McVeigh probably had converted - since Muslims are allowed to lie to the rest of us idiots - but thought it would be better not to mention this, although it seems that he frequently referred to Gulf War I. (He was a nut on a number of other levels as well, of course.)
His buddy Nichols is obviously a "follower" - but it's strange that the family of his mail-order bride lived in the same apartment building in the Philippines that was inhabited by a bunch of Muslim terrorists, including those who were planning on killing the Pope on his visit (IIRC).
Also, Nichols made many visits to Manila, when he already had procured a wife who was living here. And the militia angle is convenient because some of the wackier militias rhetoric mirrored that of the jihadis, ZOG, etc.
Food for thought.
I read that McVeigh was either an agnostic or atheist. Before he was executed, though, he accepted the last rites of the Catholic Church.