Says blast was a reprisal for the execution of its six members.
UNICEF condemned what it called Tuesday's "senseless bloodshed" in Amran province that it said killed 17 civilians and also injured 20 other people.
Governor Nayef al-Bakri was unharmed in the blast at the headquarters of the Aden Faculty of Administrative Sciences, which is housing the governor's offices, the sources said.
Egypt has lacked a legislature for three years, and since being elected a little over a year ago, el-Sissi has single-handedly passed dozens of laws.
Police apprehended two people in an area close to the palace and seized two hand-grenades, an automatic rifle, a hand gun and a large amount of ammunition.
More than 50 people, most of them soldiers, have been killed in shelling and skirmishes on the Saudi side of the border with Yemen.
State news agency SANA and the Britain-based Syrian Observatory for Human Rights say Daesh beheaded 81-year-old Khaled Asaad on Tuesday in a square outside the town's museum.