They called it "Zweite Weltkrieg", "Second World War," and they still do. The First World War was often an unqualified "der Weltkrieg." Considering that "Dritte Reich" was an acceptable name for the Nazi state, they probably would have remained calling it the Second World War. It was so huge that it doesn't lend itself to politicized names, it has to be something massive ("Great Patriotic War" is one example). It wasn't just the war against the Anglo-American plutocrats or the Judeo-Bolsheviks or against Polish aggression, it was also the war to protect European civilization and to ensure the freedom of the German people. (All these points are from a Nazi perspective, particularly on what counted to Nazis as "freedom".)