There is some reason to believe that Mcveigh didn't act alone, but it's far more likely that he was working with American fundamentalist fanatics then sources outside the US. Mcveigh was a follower of Nazi like ideas, including racism. More over, the gun show circle he seemed to get along with are also sharply racist. Mcveigh would have had little chance to make contacts outside the US.

I would guess that part of this is the us vs. them thinking that is inherent in military thinking. They want to neatly divide everybody in us/good vs. them/bad and Mcveigh doesn't neatly fit unless you can kick him out of the us group somehow.

Jay