A Captain failed to recognize inaccurate VOR navigation information and turned early onto an airway. ATC issued another vector until navigation information returned to normal.

Narrative

After takeoff from SWF; New York Departure Control assigned us an altitude of 6;000 FT MSL and a heading of 340 degrees to intercept and track inbound on the LHY VOR 078 degree radial toward WEARD Intersection. My First Officer informed me that he verified the identification of this navigation fix with a good strong accurate Morse code. However; I noticed a brief intermittent NAV flag on my course indicator. The First Officer's NAV display appeared normal; so shortly after beginning the turn to intercept this radial; ATC informed us we had turned 10 degree too early. Then they issued us a heading of 310 degrees with a climb to a higher altitude. During the climb; intermittent NAV flags and inaccurate course indications were present on both our HSI instruments. In addition there was no aural Morse code being received on either NAV radio for this particular VOR. I then informed ATC of our inaccurate navigation information. Another pilot checked all NAV circuit breakers and verified they were in and not pulled. Other nearby VORs were selected in the Captain's NAV radio and they appeared normal both aurally and visually. After approximately 5 minutes all NAV indications seemed to return to normal for the LHY VOR station. There appeared to be no conflicts with any other traffic throughout this time. This happened since I did not follow standard procedures in questioning the accuracy of any navigation information when there appeared to be a conflict between two separate displays. This can be prevented by informing ATC when I have lost any primary navigation capabilities so that they can provide radar vectors or issue a new clearance to a different suitable navigation fix.