What was causing Oswald's nervousness at the Soviet Embassy?

The three Soviet Embassy officials/KGB officers who met Oswald when he 
went to Mexico City to go to Cuba said he was acting "nervously" and 
"shaking" at the time. Recall that the Cubans (Duran) told Oswald she 
needed to see his Soviet visa before she would give him (on the spot) a 
transit visa to go to Cuba. So he visited the Soviet embassy twice to get 
one.

Here is how they described him (this is from the Frontline special "Who 
was Lee Harvey Oswald?"):

FRONTLINE NARRATOR: At the Soviet embassy, he [i.e., Oswald] met with 
three consular officials. In fact, all three were KGB officers working 
under diplomatic cover. In this, their first interview, they recall that 
Oswald's hands were shaking and his behavior was erratic.

OLEG NECHIPORENKO, KGB: [through interpreter] We all thought the man had 
an unstable nervous system. He was extremely agitated.

VALERY KOSTIKOV, KGB: [through interpreter] During our talk, Oswald kept 
feeling in his pockets, taking out all sorts of papers. Then he took out a 
gun and put it in front of him. I sat opposite him. I took the gun away 
and put it on Pavel's desk.

Pavel Antonovich asked him, "Why did you come here with a gun? What do you 
need a gun for?" He said, "I'm afraid of the FBI. I'm being persecuted. I 
need a gun to protect myself, for my personal safety." That's what he 
said."

Here is the video; go to the 1:100 mark to see the above: 
https://www.pbs.org/video/frontline-who-was-lee-harvey-oswald/

Okay, so he's acting in a desperate manner in order to get the visa. But 
the shaking and nervousness were caused by? Oswald was known to be 
demanding but he was also usually cool and in command.