"Secret History" is your friend here. The public history of WWII is the way things actually came out, and the campaign deals with things that can never be made public, because they're too weird, frightening or unbelievable.
I've been playing an occult WWII campaign like this for a decade, and it works really well. The campaign log is here (warning: long). One thing that works well with the most evil of horrors is to let the PCs destroy them. Don't make this easy, but when they come up with a good plan, don't block it.
For example, in the last session, we were a few days after D-Day, and the Germans had come up with a new kind of super-soldier who were wrecking tanks north of Caen in quantity. We found they were rather tough to fight directly, but called in an airstrike that killed some and wounded more. One of the spirits in the party (a PC who died at Stalingrad) managed to follow a wounded one back to his base, and we got more information by other means.
It was a kind of necromancy, burning the lives of young Germans to empower them for a few hours. And they were based at the HQ of 12th SS Panzer "Hitlerjugend" which we now had a precise location for. It was within range of the heaviest naval gunfire available, a 15" battleship. An SS Panzer division HQ is a worthy target for that, so we didn't have to explain the necromancy.
Addendum: providing an occult reason for the Holocaust is extremely perilous. Anything that seems to offer a shred of justification for it is likely to cause trouble. I can't explain it better than Ken Hite did in GURPS: Weird War II (PDF available here, and highly recommended):
Presenting any explanation, or providing any sorcerous or mystical background, for the Holocaust besides the reality is quite likely to offend players. Many, many people believe that any campaign or story-line that attempts to portray the Nazi genocide as anything other than the mad acts of a pathologically evil cadre of men is completely out of bounds. But the dark temptation remains – secret histories of the Holocaust can seem to let us off the hook. Here, then, are some reasons those explanations don’t work:
- The Nazi genocide cannot be a mass magical ritual. Negative energy generated by non-believers in the crowd – which those in the death camps certainly were – renders mass-magic spells impotent.
- The idea of the Holocaust as some mass sacrifice to curry favor from the Aesir makes no sense. No self-respecting deity or demon is going to accept an “impure” offering – and if there’s one thing the Nazis believed in, it was the impurity of their victims.
- Why would a conspiracy that supported the Nazis make them waste billions of marks, vital rolling stock, and immense reserves of manpower in a senseless atrocity? The only conspiracy involved is the real Nazi conspiracy to commit genocide.
The campaign I'm playing in had a fine example. A bunch of Nazi magicians attempted to use human sacrifices to gain more power for a ritual working. But a sacrifice has to be of something that the sacrificer values, and loses through the sacrifice. They ended up killing themselves, and it didn't work either.