It seems like a natural extension of Westworld: you get to discover who you really are. In WW proper, you get to be a white hat or a black hat (and hypothetically, you can play anywhere in between).
In WWII World, presumably, you can play as a Nazi, an allied soldier, a resistance fighter, a Vichy regime type, etc. Presumably, there would be an appetite for that among the ultra-rich same as with WW, and Delos wouldn't care about the PR of people playing as Nazis.
In the closest analogue, there are a number of board games and video games that allow you to fight with or against Nazis. (Axis & Allies, Castle Wolfenstein, Call of Duty, Battlefront, etc.) I imagine most of them, have you playing as Allies currently, but maybe the same restriction exists in WWII World, or maybe the future has become more relaxed about Nazis.
If the parks that Delos created were to be all based on actual history/myth (from an American/Western perspective), WWII would basically be the first park I would expect after the Old West.
In no particular order, the others would include:
Medieval World (Knights of the Round Table, larger than life Ren Faire, etc.)
60s World (James Bond-esque scenarios, Cold War stuff, hippies, free love and counter-culture, the Civil Rights movement, the space race and Camelot would all provide interesting storylines)
Civil War World (giant re-enactment of battles, plus Gone with the Wind-esque glorification of plantations and the Southern lifestyle)
Roaring 20s-40s World (Flappers, speakeasies, gangster battles, noir detective stuff)
Revolution World (Fighting the American Revolution and creating the Constitution, although I can't think of too many real-world analogue games to this).
Yeah, it started off with "Amused" lit up, and read that for most of the episode. After he was attacked, it changed to "Angry."