I really don't see why your parents need to know about your fetish. To me it's not really like coming out as gay or something, it seems more like telling them the specific details of what you did in the bedroom with someone. They just don't need to know those kinds of things, even if you have a really close relationship with them or something like that.

Just tell them you find WWII and Nazi things really interesting. If you're comfortable with this, tell them that you just find certain aspects of those things to be attractive (the uniforms, certain personal stories of those involved, whatever). It's not the complete truth but it's also not a total lie, and either they will leave you alone about it or they'll kind of figure out the whole truth themselves, and still hopefully leave you alone about it.