This was definitely Megadeth. There were episodes of Headbangers Ball called Mission Megadeth, one episode was skydiving at Perris and the other had live footage, interviews etc from this show. I have them somewhere.
Megadeth used to do secret shows as Vic & The Rattleheads. They did warm up shows at Monopoly's in Riverside and the Ventura Theatre in Sep 1990 prior to the start of the tour and a few sporadic shows under that name at least until the mid-1990's that I can remember.