In that case who does he say he bought it from "a old gentleman in a pin striped suit and bowler hat"? What you're suggesting is just the start of a slippery slope of lies which could end in more trouble. Let's say they have CCTV evidence of the transaction but the OP lies about it, what good will that do him?
Let me clarify - I do not expect or advise the OP to lie. That would be a horrendous strategy.
All I am saying is:
1) The OP is in deep doo-doo. Nobody reasonable would think that buying an A4 paper ticket off some Eastern European guys hanging around the station meant they'd legally discharged their duty to pay the fare due.
2) It is not wise - in my view - to go running to the police, who are NOT involved, and freely admit to a crime of avoiding payment of the fare which may or may not be being prosecuted privately by AGA, just so some CCTV can be obtained.
3) CCTV will be of probably limited value to the police/AGA unless the offenders are serial and known to the police or AGA.
and
4) Just my POV - freely accept the OP is in a dilemma here; I guess the ball is in his court to weigh up the pros and cons.