The FBI is conducting an administrative review of the circumstances in which its Las Vegas office asked the Air Force for military records of Brian McKay last fall before McKay was elected as the state's attorney general.

Roger S. Young, assistant FBI director for public affairs, said today that "It appears as though the Air Force office of special investigations was requested by the FBI in Las Vegas to check its records. The record check was accomplished and no derogatory information whatsoever was found."

According to McKay, Joseph Yablonsky, head of the FBI office here, made the Air Force records request last fall. McKay, who demanded Saturday that Yablonsky resign, said the FBI official called him Friday to acknowledge that he had sought the records after he had denied it, the Las Vegas Sun reported today.

"I just couldn't admit last week that I did it," McKay quoted Yablonsky as saying. Yablonsky could not be reached for comment.

In last fall's election, Republican McKay defeated Democrat B. Mahlon Brown. Brown, who served as U.S. attorney for Nevada in President Carter's administration, said he did not ask Yablonsky or any other FBI agent for assistance during the campaign.

Another former U.S. attorney for Nevada, Lawrence Semenza, who served under President Ford, wrote to the Reagan Justice Department that he had received "disturbing information" about the 1982 Nevada attorney general's campaign some time after the Nov. 2 election. A copy of Semenza's letter was obtained by the Las Vegas Sun two weeks ago.

McKay said he has demanded the resignation of Yablonsky "to preserve the interest of law enforcement in the state."

In Washington today, FBI spokesman Young said that the Air Force office of special investigations "is conducting an inquiry to see if its policies and procedures have been adhered to and the circumstances surrounding this matter are currently the subject of an administrative review by FBI headquarters."