It's debatable whether Oswald's attraction to Marxism was fueled by a belief in its ideology or whether Oswald turned to Marxism because it stood in contrast to American norms. Robert Oswald said exactly that: "If everybody had been Marxist, he would have been an American, vice versa."
Right, Marxism was an explanation for his plight, for the ugliness he saw around him. "Why is the world so ugly to me?" Answer: Because it's a corrupt world, it's a world that Marxism explained to him. That's what happened, it seems to me, to many Americans who became communists during the Great Depression. At that time liberal democracy was a failure, fascism was on the rise, and communism seemed the answer to those challenges. It was why, for example, Whittaker Chambers became one.
But even if it was just a rejection of America it was still something he believed in. He wasn't, I don't think, a nihilist.