The assumption that the NSA catches (and discloses) most flaws in major open source software requires a high suspension of disbelief.
http://rump2007.cr.yp.to/15-shumow.pdf
The xz vulnerability is exactly the same in that guarded sense, so I’d be completely unsurprised if the NSA was behind it but I don’t think they’d otherwise help keep it quiet. Even if it was another Fives Eyes country it’s hard to imagine them being okay with that level of risk.