This is a by-no-means complete list of films made about WWII during the 1930's and 1940's. I have not included films dealing with pre-WWII conflicts such as the War in Ethiopia, or the Sino-Japanese War.
There are a number of films missing from this list - because they are not in Letterboxd. This is especially true of WWII propaganda films and Japanese films made during this period.
This list is as complete as I can make it. Let me know if you are aware of any WWII films from this period I have left out.