I have the GURPS Weird War II book, it is very good and a useful buy for any Weird Wars GM. It is not one setting but more of a pick and mix selection of ideas and toys. If you have any GURPS supplements you know what it is like - ugly but informative.
I picked up 'Iron Cross' their German sourcebook and I would recommend it as well. Indeed if any GURPS book covers a period of interest buy it.