If being their friend means lying for them, they’re not asking for loyalty. They’re asking for an alibi.

A request to lie for somebody is not a request for loyalty, whatever it gets called at the time. It is a request for cover, and it puts your word behind a decision you had no part in making. Once you do it you are inside the story, and whatever comes next includes you. Notice how the loyalty in these arrangements only ever seems to run one way.

You can say no and still be their friend, and saying both together is the cleanest version of it. Keep it short and do not negotiate details. If the situation frightens you, bring in an adult you trust.