I think McVeigh was an atheist, but deep thinkers such as Whoopi will not let facts get in the way of scoring cheap political points.
McVeigh claimed, in an interview, to believe in God, but declined to be any more specific, saying it would only serve as an excuse for people to alienate themselves from him. Most likely he was something of a follower of the white supremacist “Christian Identity” movement, given his apparent devotion to “The Turner Diaries” and its author.