Not really.
You could sue for breach of contract but to what end? They could have given you a month's notice the day you started, so you have lost very little. Unless it was a fixed term contract e.g. 6 months.
The agency got you a job so they may well get you another one. If you want to really annoy them, sue them.
My main concern about your story is that you were offered a job and then it was withdrawn. That could be for the reasons stated or it could be because they got a bad reference.
You should send the person in the company, not the agency, a letter or email saying how disappointed you were that the offer was withdrawn and if anything else comes up, to give you a call.
Brendan