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Megadeth’s apparent disgust for the UN goes back to the 1980s when they were at their peak. Check out the album cover for the 1986 “ Peace Sells… But Who’s Buying?”
Wikipedia’s article describes the cover:
The album’s cover makes an ironic statement about the Cold War. On the backdrop of a red and orange sky, it shows the United Nations headquarters soon after a nuclear attack. In the foreground is the band’s mascot, Vic Rattlehead. He stands above a sign reading “For Sale” (“Vic Realtors” appearing in some copies), implying that the United Nations is for sale. The cover and the title suggest that while peace is a popular theme, if it were sold as a commodity, no one would buy it. These themes carry into the title track, with its strong themes of youth disillusion. Dave Mustaine got the title from a Reader’s Digest article.