This is a rush transcript from "On the Record," September 29, 2014. This copy may not be in its final form and may be updated.
GRETA VAN SUSTEREN, FOX NEWS HOST: Beheading in Oklahoma. Was it a terrorist act of jihad or the rage of a worker who just got fired?
Joining us from Oklahoma, the suspect's sister, Megan Nolen. Megan, thank you for joining us.
MEGAN NOLEN, SISTER OF ANTON NOLEN (VIA PHONE): You're welcome.
VAN SUSTEREN: Megan, I can only imagine, before we even talk about your brother, this is very tough, I know, for you and your mother. How are you doing?
NOLEN: You know, we are just trying to make it by. You know, we are trying to put things together just like everyone else is doing. We are confused. And we are still in shock. You know, and it's just, you know, all an act of, you know, us trying to stay close to God in order to fill these voids and these unanswered questions as to why these things are being said and, you know, why these accusations are coming about.
VAN SUSTEREN: How did you hear about it?
NOLEN: I actually heard about it through a friend. I was at home Thursday night it was around 10:00 or 11:00 and I kept getting phone calls. I'm usually in bed by this time so something told me to answer the phone. And as soon as answered the phone, a friend of mine told me that that they seen on the news what had happened. So I instantly contacted family members and, you know, we made arrangements to go down and try to find out the information on what was going on. We couldn't get any information at the time, so we ended up coming back to our hometown. And now we're on our way back down there to try to get some more things accomplished.
VAN SUSTEREN: When did you last hear from your brother or see him?
NOLEN: I have -- I know I spoke to him on his birthday, which was in August, the 16th, I believe I have spoken to him a couple times, you know, in between the time that, but you know it was just a hi, how are you doing, how have things been going, and that was about it. He never really expressed himself really well with anyone other than my mother. So, you know, it was just casual conversation, taking on each other, and you know, telling each other we love him and goodbye.
VAN SUSTEREN: You know, there's a big question tonight, you know, of course is why. And so, I'm curious, you know, one of the issues is whether or not it's Jihad, an extremist thing. Did he consider himself Islamic Jihadist?
NOLEN: I honestly don't think so. I don't know if this was a new venture? Because Alton is always a person who likes to gain knowledge. When he doesn't you know get a clear understanding of a certain situation, he will go about other ways of trying to find, you know, something that sits well with him. You know something that makes sense to him. So, I honestly don't know. I don't think it has anything to do with, you know, any type of religion or anything, because he grew up in a Christian household. I just think, you know, he might have got involved with the wrong people, you know, preaching the wrong things and basically corrupting his mind with just things that are inhuman and I just don't understand that I really don't. I honestly don't believe it's an act of terrorism which is what everyone is trying to make it out to be or anything like that. He was just, you know, trying a different journey in life. I don't think he was just actually set in stone. I think he was just, you know, reading up on it, gaining information, trying to get knowledge, you know.
VAN SUSTEREN: You know, to behead someone is the probably one of the most violent acts you could commit. I mean, so what would all of a sudden make your brother commit one of the most violent acts? That's, I guess, the question.
NOLEN: You know, I'm really still kind of confused on -- we haven't -- we haven't got any information, you know, on what was really going on. We heard everything threw the news. One minute they are saying he stabbed someone. The next minute they are saying that he beheaded someone. So, I'm not really sure as to what -- you know, what really happened. So I really don't want to speak on that, because I'm not sure as to what has happened. These are accusations to me and I know something has happened but to be the extent of what has happened I'm not really sure.
VAN SUSTEREN: Did you know if he had converted into Islam?
NOLEN: No, I don't. No, I don't think he was you know converted into Islam. Like I said, I think it was just something that he was trying to gain more knowledge on basically like another way out for him.
VAN SUSTEREN: Did you know that he was having trouble at work? I mean, he obviously got fired so there was something going on at work?
NOLEN: To my knowledge, I did not know anything was going on at work. No, I didn't.
VAN SUSTEREN: Do you know when your mother last spoke to him?
NOLEN: I believe -- I'm not sure when was the last time she spoke with him. You know, I would have to speak with her about that. I'm not sure when was the last time. I know it hasn't been too long but I don't know. I'm not sure when it was.
VAN SUSTEREN: Has he ever expressed any sort of sense of violence before that you know of like was he ever, you know, getting in trouble as a kid who was threatening people? I mean, was he a problem child?
NOLEN: No, he has never been a problem child. He is always, you know, he obeyed his elders, he always did right in school. Of course, you know, some people -- all of us make mistakes which I'm not trying to say he was perfect. But he was never a problem child. He was never violent. I have never known him to even get in a physical altercation with anyone, so this is all still up in the air with me, too. I'm just confused myself.
VAN SUSTEREN: Did you have ever a conversation with him about Al-Qaeda or training camps or anything like that? Anything to do with Jihadism?
NOLEN: No. I haven't.
VAN SUSTEREN: And he has never been out of the United States as far as you know?
NOLEN: Yes. As far as I know, he has never been out of the United States.
VAN SUSTEREN: Well, Megan, thank you very much for joining us. On obviously, I know as you said, you are just learning about this as well. Obviously, you know, a very terrible situation, a terrible tragedy for to at least two families down in Oklahoma. One has been stabbed and, of course, there has been a murder. Thank you, Megan.
NOLEN: Thank you so much.