This is the 2nd game, so it's after the first depicted a concentration camp using slave labor to mix concrete. Also NYC is a smoking nuclear crater, New Orleans is a warzone with evil cyborg dogs, and London had a big creepy robot tentacle monster doing a panopticon on everyone.
Also this scene is funny as hell because it has American reactionaries trying to fit in with the Nazis only for them to look like idiots who'll probably also get sent to camps. There are the KKK guys who get berated for having shitty Germans. Then there's the woman flirting with the SS guy who tries mocking Austrians to get on his good side. He also berates her saying his mother and Hitler are Austrians.