They are lying. It doesn't take any time to get a response from a bank. Most dealers are online with dealertrack these days, which shows approvals and denials in a matter of minutes. It sounds like someone isn't doing their job, or they don't want to hurt your feelings.

Have you ever financed anything before? Any established credit?

If your credit is shaky or you don't have any, a bank is not going to help you unless you have been with them for a LONG time. If you have some "issues" then you need to find a dealer that can work with you. There are first time buyer programs out there, but they are usually for pretty cheap cars. I can probably help you out, PM if you would like to discuss your situation and needs with me...