Well, you have to initialize your local variables at some point, so this is fine. In fact, it's a pretty good idea to initialize object references to null, since this is what happens for member variables when a new class is constructed.
It's possible that I don't 100% understand the question or the intent of the code. But anyhow, for what it's worth, here's how I'd write that code:
(1) If all you're doing is returning an instance of MyClass and not doing anything else with that instance within this method, then why bother declaring the identifier "myClass" at all, let alone worrying about whether to set it to null? (2) "return myClass = new MyClass();" -- Sure it's valid syntax, but is anyone really advocating this as good style? (3) I reversed the condition because it makes it clearer to me that throwing the exception is the exceptional behavior and returning the new instance of MyClass is the standard behavior. (Others might object that testing for a negative is a bad thing...)