TeX command into Environment

You can use xparse, which has many more features than environ and doesn't need \BODY.

I also fixed a few weaknesses in the proposed code: issuing \leavevmode upon entering the environment helps in getting the margin note aligned in case it is at the beginning of a paragraph. Inside the \marginpar it avoids a spurious line when \color{cyan} is issued.

\documentclass{book}
\usepackage{xcolor}
\usepackage{xparse}

\NewDocumentEnvironment{marginnotesone}{+b}
 {%
  \leavevmode
  \marginpar{%
    \leavevmode\fontsize{9.5}{12}\selectfont\raggedright\color{cyan}#1%
  }%
 }%
 {}

\begin{document}

\begin{marginnotesone}
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
\end{marginnotesone}
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9

\end{document}

You can use the environ package for that. Then you merely need to replace #1 by \BODY.

\documentclass{book}
\usepackage{xcolor}
\usepackage{environ}
\NewEnviron{marginnotesone}{\marginpar{%
\fontsize{9.5}{12}\selectfont\raggedright\textcolor{cyan}{\BODY}}}


\begin{document}

\begin{marginnotesone}
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
\end{marginnotesone}
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9
The analyst must know what information is really needed, and
obtain a representative sample, pp. 6, 9

\end{document}