The Code of Silence plus the knowledge that he hid the plot from the Feds. Remember, McVeigh wasn't trying to AVOID execution. He was actively seeking it. I also find it strange that he was strongly insistent that there was no John Doe #2. Let's assume there wasn't. In that case, McVeigh most likely would have played coy and indicated there was a John Doe #2 to fluster the Feds who would vainly search for someone that McVeigh would know was nonexistent.