I've always thought that Swastika Night (1937) was the first of its kind, but is there a novel or short story that predates it?
Swastika Nights?
There's also the 1929 movie "High Treason" that I watched this year. It involves a very different war, starting in 1940. The war is between United States of Europe and the Atlantic States, pushed by cigar smoking arms dealers.. The movie predicted rather startling differences to the geopolitical scene, and very little differences in women's hair styles.
What an awesome description.
Would High Treason be considered alternate history since it was written before the war?