Once they had McVeigh, the Clinton administration had what it wanted -- a white guy with militia ties. This allowed them to smear the conservative right, Rush Limbaugh, et al, with implied blame for the bombing.
And, politically, it worked. Clinton recovered from "irrelevancy" to being back in control.
A Middle East connection, however, would've been a totally different kettle of fish -- one they didn't want to deal with. It would've required taking punitive action...and Clinton didn't want to do that.
The same kind of thinking probably applied to TW 800 -- a "spark in the center gas tank" was much more convenient than a bomb or missile.
I'm from NY, and I can tell you there were so many witnesses who saw a missile, they started a "Tell the Truth" organization. Of course, the liberal media wrote them off, too. They didn't really see what they saw, either.