This is an article from shortly after Osama Bin Laden was killed.

The official story is that the Navy Seal team took the body somewhere in Afghanistan where it could be positively identified. Then, while on board an aircraft carrier, Bin Laden was given a Muslim funeral and his body thrown into the ocean.

The Pentagon claims that this was done in order to respect Muslim tradition and because they did not want the body to be buried somewhere on land where other extremists would be able to build a temple.

There are multiple reasons why the body can be considered of value. For example, interested parties might need very hard evidence of Bin Laden's dead, with a 'trusted' test result made abroad not being enough. And also because of the body's historical value and its value as a collectible (as bad as that sounds).

So, if the US is faced with two options:

(1) Bury the body at sea

(2) Lie about burying the body at sea

Option (2) would give them every benefit of (1), but they keep the body and its associated value. Since there is no possible way to disprove the claim of a body being thrown into the ocean, other than finding the body and identifying it, it is quite an easy lie.

The conspiracy theory is that those in charge of making this kind of decisions in the US would chose to lie in situations where it will optimize the outcome, and that they have done this in this case.

As a 'conspiracy', it is part of the larger topic of trusting the government and those in power. Will those in power tell the truth when an unfalsifiable lie will lead to a better outcome?

There's several ones about bin Laden death, probably the one linked to another one, that Osama never stopped being CIA agent (this i could believe as in topic) and they killed him much earlier to quiet him, then used the chase for dead man as excuse to do more imperialism.