I am thinking a very political game, with an emphasis on investigation. Most of the time, the characters would be talking to people and going over old documents. The actual arrests would be conducted together with the authorities of whatever country the Nazi is hiding in.
Of course, there will be complications, what if the person they are after has become part of Project Paperclip in the U.S. ? Perhaps the Nazi they are after in Brazil has actually been set up as a fall guy for somebody else?
The feel I have in mind for this is very slow-paced, almost contemplative. The villains the characters are hunting, despite their evil are completely human, and kind of pathetic.
For a more pulpy feel, perhaps the Nazis have escaped to the moon, or to Antartica, and are busy planning the fourth reich? This would be a far more action-intensive game, which may be fun.