That sounds like an awesome time to set a campaign. I think you'll definitely want some Black Cat investigators, regardless of the canonical timeframe for them.
Plenty of scope for themes of helplessness, and "those left at home," while the War is being fought. All eyes are on Europe and the Pacific Theatre. It's the perfect time for supernatural forces to make a play for increase in power.
There's an awakening in American culture at this time. Sex is being sold much more openly, in glamour shots and the rise of swing and the musical trends that will eventually give birth to rock and roll, so the White Court could be on the rise, feeding on the swell of emotion. Fear of the Axis' advance. Despair as loved ones go missing or return home in boxes. Lust indulged in to block out the pain.
And of course, you know you're going to want evil occult-powered Nazi agents trying to infiltrate the States. Hitler was fascinated by the occult, even obsessed by it. Imagine if he had wizard advisors? Or Fey? Allies who could tell him how to open a Way from Berlin right into the heart of the US?
