Damn it Marvel, you got me with Thor, now after Captain America I want to run a pulpy WWII Golden Age superhero game.
I figured this was possible - after all, my one year of Adventure! had Rocket Man as a PC and I felt I could go back and do more there - but yep, darn it, totally worked.
I've followed war before (most successfully in The Stars On Fire, following the PCs from first contact with a hostile alien race to nuking their battle station, in a grim Galactica by way of Elegiac Halo Adverts sort of way) so I know the setting works, with PCs generally as irregulars (and possibly out-and-out oddities like Cap) doing commando raids and entangling with NPCs on various sides so it's not just mission after mission after mission...
And of course I've given some PCs the chance to fight Nazis - in The Watch House itself I grabbed the chance while Milli was in Hell, while in Doctor Who Series A I had a slightly more nuanced approach with good and bad German soldiers, a heroic traitor and, yes, some out and out mad scientists Hellboy would be happy to clobber.
But there are always more Nazis to fight.