McMahon hoped to become a United States Marine Corps fighter pilot. Prior to the US entry into World War II, both the Army and Navy required pilot candidates to attend at least two years of college. McMahon studied at Boston College from 1940 to 1941. On "The Howard Stern Show" in 2001, he stated that after Pearl Harbor was attacked, the college requirement remained in effect and he still had to finish his two years of college before applying for Marine Corps flight training.