Adamant Entertainment has a Nazi's supplement for Thrilling Tales, and I believe that there is a Modern Dispatch or two with Nazi Superscience weapons. I think there was a Polyhedron issue that had a WW2 supplement. You might also want to pick up the GURP Weird War II supplement for lots of excelent real world and not so real world ideas for such a setting.
If the game is set prior to the out break of WW2, but after 1934, you might have a group of PCs who work for a private foundation that could work as a counter agency to Nazi efforts to acquire occult artifacts from around the world. If you want a more War based setting i suggest starting with more advanced characters, say 3-4th leve at least, and have them all be operatives of a special OSS agency trained to deal with the Nazi super weapons and other things showing up in the midst of it all. I find it helpful in such a game to suggest character description, just one sentence PCs, and have the players pick from them and develop the character as they see fit. For example, a special OSS group might contain:
The sole survivor of an eliete commando squads encounter with something terrible in the wood in France.
An Anglican priest recruited for his expertise in European occultism.
A samuri sword weilding Japanese American who volunteers for service to keep his family out of the camps.
A French spy who worked undercover as a dance hall girl before being recruited for this.
The Brit boffin who takes apart "unknown objects" for HRM.
A gypsy witch who's looking for revenge for what the Nazi's did to her family.
Etc.
Creat a number of ideas that you think would work in the campaign you have in mind, say about 3x the number of players, and let them pick and flesh them out and roll them up.
A third possibilty, for the powergamers, is have the team be a special "Creature Commando" Squad - made up of vampires, werewolves, demons, flesh golems, etc.
Remeber that this kind of gaming is going to be assignment based. Think about all the intelligence that might go into planning missions for your group, and all the things that might go wrong. Yes, some times the millitary or secret services didn't plan everything well, but as a GM you should be able to tell the PCs up front how they get in, what they find, what they are supposed to do, and how they are to get out. On the ground all that can change, but the PCs commanders should have a plan.