I agree largely with InTherapy, especially as I myself have an embarrassing fetish and basically no one chooses these things as fetishes, really, you think we'd choose something others find abhorent, I think not.
As for my response to the question. I think you should tell your parents, but less emphasis on the sexual part of it. I would suggest more that you emphasize/express how you like the era, clothing choices, and accents. I think you do need to address the issue because with them bringing it up so much they're probably worried about it, and understandably so. If you haven't addressed anything about it with them, they probably are linking your interest in them to possible interest and/or approval of their actions. I can completely understand how you can ignore this link, but as you've witnessed from the responses, most people cannot. Like I said above, I wouldn't emphasize the sexual part by any means, and if all you say is that your therapist knows and is comfortable with your interest in Nazi's that may be enough to at least calm them a little.