I also get the message on Ubuntu 64bit Lucid. I find it weird that the soapUI-x32-3_5.sh does essentially the same initial launch sequence and yet loads the java installer GUI just fine. Does this help identify a potential bug? PS, I set up the HOME and PATH as indicated and this didn't make a difference for me.
2.6.32-22-generic #36-Ubuntu SMP Thu Jun 3 19:31:57 UTC 2010 x86_64 GNU/Linux
sudo ./loadUI-Agent-1_0-beta1.sh
Unpacking JRE ...
Preparing JRE ...
Starting Installer ...
Error: could not open `/usr/local/src/loadUI-Agent-1_0-beta1.sh.3525.dir/jre/lib/i386/jvm.cfg'