Hearts of Iron 4 with the "The New Order" mod specifically. It's about an alternate Cold War, where Germany won WW2. Before you think it's glorifying - no. The mod turns the whole thing into almost a horror-strategy game with most events told along the lines of characters. Sometimes it will be the people themselves (Nixon, Albert Speer, Göring, etc.) and sometimes you will get the experience of what a Nazi Germany (or a country run by Himmler and the SS) would look like for a normal person or someone that's a slave.

I highly enjoy it and parallels to the present are always.. "fun" to notice. The game will quicker hammer down into your mind that you should never give up because no matter how shitty the situation right now is, there are things that must be prevented or there will be always worse consequences and outcomes.