Minha aposta na primeira associação de ficção entre os nazistas e a magia oculta é Conflito Estranho de Dennis Wheatley publicado em 1941.
When the bombs fall on London the elderly Duke de Richleau considers a problem of the utmost urgency. What methods are the Germans using to discover – with sinister effect – the secret routes of the Atlantic convoys? His answer is bizarre and fantastic. The enemy are in touch with supernatural powers which can be overcome only by those who have the knowledge and courage to join battle with them on the Astral Plane. The Duke and his supporters face the terrifying challenge from the Powers of Darkness
Summary from Goodreads