The aliens could be feeding information to the "Desert Fox" (Rommel) in his campaign in North Africa.
The aliens could be feeding the SS's search for ancient relics of power, which are actually alien artifacts of great power from older attempts to influence history.
The aliens could be working to sabotage the radar stations that give the british advance alert in the air campaign in the Battle of Britain.
The aliens could be attempting to augment the wolf packs of the North Atlantic with advanced tech to locate and disrupt the lifeline of supply ships to England.
The aliens could intervene in assisting the battleship Bismarck break out into the North Atlantic (1940) and avoid its sinking, or raising it from the sea to terrorize the British navy or supply lines.
The aliens may be attempting to convince Hitler that the allies will be landing at Normandy instead of Pas de Calais, either increasing the fortifications or disrupting the Allie's attempts at subterfuge to point away from the real invasion.
The aliens may reinforce the Italian Gustuv line with advanced technology against the allied push towards Rome.
The aliens might attempt to assassinate Stalin or other Russian leaders in an attempt to weaken Russia in the eastern front.
The aliens may assist in the Battle of the Bulge, attempting to obliterate the 101st airborne at Bastogne, thereby greatly weakening American resolve.
The aliens may assist Operation Valkyrie in attempting to assassinate Hitler and leave a somewhat weaker, but still intact Germany in existence.
The aliens might forewarn and help the Germans prepare for Operation Market Garden, turning the seizing of the five bridges into a trap that consumes the armies involved.