question

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Apparently no one has responded in 3 years, so I'll give it a shot. McKinney was speaking generically to himself, God, the universe. Although it was specifically in the context of McKinney loading his gun quickly enough to shoot a moving prisoner, I assume it did not have a real context other than a desperate, confused individual asking the powers that be for help.

At the time, I thought he said it because he had trouble loading the bullets in the gun. But the other comments here to the effect that this was a broader call for help might be right too.
In a somewhat different vein, I find this particular line rather weak in the movie. In context, I don't think it makes help that he would say "help" at that moment. Nobody was going to really help him, and he just didn't seem like the kind of person to ask for help anyway,and especially so in that situation.
That line ("help") is of course important for the courtroom scene later in the movie. That scene was really not done well either. In reality, the defense attorney (for McKinney) would never have known that Bean would give this statement at the hearing, and thus he could not have asked the question in this manner. The only way he would have known this is if Bean had already made this statement. This is actually quite possible (i.e. that Bean would have made a written statement about the account during the investigation), but Bean's reaction and his lawyer's comments and the reactions of the other prisoners strongly suggest that this was a total surprise to them. (And note that at first, Bean denied that McKinney said anything.) If Bean had made this statement before, then he and the prosecuting attorney would have been ready for it; if Bean did not make the statement before, then there is no way that McKinney's attorney could have asked that question with confidence. (I happen to be a trial attorney, and so I know know these things generally work in a court proceeding.) This is just not the way things really happen.