McVeigh was remarkably consistent on this point. He also insisted his execution would be fake and that he'd be whisked away by his handlers and given a new life as a reward for his loyalty.
Discussion
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I don't believe that actually happened, but I wouldn't be surprised if McVeigh had been recruited and didn't realise he'd be left out to dry. He also said in his initial interview with his legal team that he thought the trucks were switched because the blast was much, much bigger than he expected. Later evidence of a second truck actually surfaced.
I don't see how telling everyone about your plan and how your execution is going to be faked would be seen as loyalty anyway...
Not at all - he couldn't keep his mouth shut. On the one hand it could be entirely fantasy but on the other, he did have a good record in the military and did try out for special forces with everyone who knew him at the time fully expecting that he'd get in. He had a perfect blend of capability and insecurity which would've made him an excellent patsy for an operation like this.