It's quite possible he had been told he was a federal agent infiltrating a ring of enemy Iraquis, whether by real US federal intelligence operatives or those *false flagged* agents representing themselves as such, who would not only have assured him that the bombing would be halted before it could be detonated- as at the first Wiorld Trade Center bombing attempt- but who also made the Army Reserve/Special Forces facility at Camp Gruber, Oklahoma available for preparing the Ryder trucks and their payload- as photographed.
And he'd keep quiet if he didn't want the same thing to happen to his sister that happened to OKC police officer Terrence Yeakey, and some two dozen other witnesses to the events that took place in the bombing's immediate aftermath.
Who was he going to tell anything to, anyway? The FBI-controlled media mouthpieces allowed to interview him? I doubt we ever heard anything from McVeigh not approved from Washington first.
-archy-/-
Yeah, "they" said he confessed. "They" said he wanted to die and get it over with, or some such.