Documentary histories collect primary sources on a particular topic and also provide secondary analysis or essays to help the reader contextualize and understand their significance. To search for these types of works, put in a general keyword for your subject, and then search for "documentary history" OR "history in documents".
ZSR has access to several English-language news sources published during the 1930s and 1940s. Use secondary sources to help you identify specific date ranges to search, keywords, names, places, and other information that may aid your newspaper search. Note that words like "Holocaust" were likely not being used at the time the events were happening.