Hmm. Yes. WW2 is already rife with the occult and "superscience". Why not ramp it up. What if the Thule society did wield magic? What if russian military psychic research was fruitful? What if the cult of the emporer drew power from thier complete devotion? What if the germans finished the bomb first, or completed the intercontinental space bomber? What if japanese balloon borne bio-weapons hit california and caused widespread mutations? etc.
As for alternate history? How about Hitlet never gets siphilis, remains lucid, reaches moscow before winter, secures power in the east before attacking france, and doesn't over-ride his generals good decisions.
But I also wouldn't mind a mundane "horror of war" type setting either. You don't need demons to blame for evil when mankind can do worse. You don't need magic missiles and fireball when you have bangalores, Sturmgewehr, and m1 carbines. Who needs dragons when you can face a flight of Zero's are stare down the barrel of a Panzer. Maybe the kind of game where you can play Band of Brothers, Saving Private Ryan, The Dirty Dozen etc.