I had an idea for something like that, once. Here, have the very stupid campaign setting notes I've still got saved. I'm still proud of some of them, although I can no longer read the phrase "Goebbels Golem" without breaking down into laughter. He was made of propaganda posters >________>
Not well-balanced in terms of attention. Never finished it so lots of places didn't get the love they need, or even get addressed at all. I should go back to it one day.
The Soviet Union utilizes undead, with many of the secrets necessary to raise them in large numbers discovered and applied by Rasputin the Archlich of the Proletariat, who used his connections with the royalty to ensure the success of the Revolution with the aid of Lenin the Worldthought Savant, General Trotsky the Unreaped, and First Juggernaut Stalin. They also have a number of psychics created by the Tunguska Event, all of whom are blind but possess Mindsight and a variety of aurasight powers based on detect spells, varying in power and range from psychic to psychic and equivalent in power to blindsight to many of them. The psychics are treated well, unlike the rest of the population, because it's not yet been possible to raise one as an undead without destroying whatever powers they had.
Germany is working in even more blatantly evil realms of power, with a great deal of fiend summoning and contact with the Far Realms. They've also developed genetic engineering, of a sort, although it consists mostly of shooting magic at chromosomes until they turn inside-out. It's not particularly sophisticated, but there have been some results that are useful in the war effort. Attempts at creating higher beings have thus far proven unsuccessful, since pretty much anything that even manages to survive is in such tremendous pain that death on the battlefield is merciful by comparison. More successful has been the fusion of humans with the creatures they summon, a practice that those creatures have been extremely eager to help with. Half-Devil Heydrich is possibly the most famous example, although Himmler-Lgura is well known for his temper, and Goeringstro is feared for his unpredictable and brutal strategies. The Goebbels Golem, while understood to be responsible for the most compelling German propaganda, is not favored in public due to the accident that forced his soul to take refuge in his current form.
Japan has devised a sort of powered armor, and prototypes of larger machines have begun to appear in the Pacific on the more heavily fortified islands. These are so large that they can't seriously be considered armor, and have been termed "mechs" by Allied soldiers. They've also deployed ninja assassins around the world, many of whom have managed some seemingly-impossible targets. Attempts to attack Japan itself thus far have been total failures, with impossibly specific natural catastrophes befalling all who attempt it; fortunately, whatever force is causing them is not all-knowing, as espionage has not been hindered.
The British have druidic sects that serve a similar purpose, summoning weather to annihilate invaders and maintaining a constant perimeter of violent storms to deter invasions (manipulated to allow intended traffic). So far, no pattern to openings has been discovered. Britain has broken every code used in the war (by any side) thus far, and it is rumored that they have some sort of computing machine capable of decoding any cipher. Let me know if you're playing a British agent; they're significantly better at their intelligence and counter-intelligence than anyone else in this game, and actually have a few secrets that wouldn't be common knowledge in the Unified Special Ops Team you'd be members of. It's also known that Arthur once again sits on the throne, and has survived dozens of assassination attempts unharmed, against all odds.
The United States has Native American shamans doing basic weather-control, and uses their astral travel abilities as a tool to spy on the enemies, although there are some (extremely expensive) countermeasures that can be applied to sensitive areas. Besides this, they've developed cybernetic attachments and lead the world in BFG technology.
The Italians have been blessed by the appearance of startlingly powerful beings, who claim to be Angels of God, and who match the portfolios and descriptions of the Roman Gods. While the Vatican has emphatically endorsed these apparently celestial creatures, Christians in virtually every other nation believe them to be imposters and accuse the Pope of being deceived into heresy; a new Pope has been appointed in South France and declared a Crusade against the False Angels, but this has not been a practical possibility.
While much of France has been conquered, the southern areas remain free, under the leadership of Joan of Arc. While she lacks the resources to win this war, she has never lost any battle that she has personally been present to direct; unfortunately, she cannot be everywhere at once, and relies on the support of the Allies to continue the fight.