I like the idea of saying you used in Mexico where it is legal. If they give you the poly, I still like this idea. The polygraph doesn't really "know" that you are lying, it simply measures certain bodily changes that "may" indicate you are lying - e.g. they measure heartbeat and twitching or something along those lines.
Some people are able to "pass" a polygraph test even though they are lying through their teeth. They are able to stay calm and not get all nervous like most people do when they lie.
If they detect irregularities or changes in response to certain questions, that doesn't conclusively prove a "lie", although it may show nervousness or discomfort. If they hammer you, you can just say that your response was truthful, but that the questioning about steriods made you uncomfortable because you are aware that possession of steriods is illegal in the U.S.