possible theory; McVeigh, racists and muslim extremist work a plot to get a world wide racial/religious war going. Both sides think they will win. McVeigh gets caught, thus, missing up the plan. To keep the plot from being totally foiled, he denies having accomplises and dies a martyr for his destructive cause.
Well, it would make a good Tom Clancy novel. IMO,
Bttt.
Dawn Perlmutter (in "Investigationg Religious Terrorism and Ritualist Crimes," CRC Press) does claim an alliance between some White Extremist and some Moslem Wahabist groups. She mentions the Aryan Nations' Ministry of Islamic Liason as an example.