What if...
What if the infamous German / Russian non-aggression pact got signed a lot earlier ? Then Russia summarily grabs all its toys, leaving West in quandary.
Germany isn't ready to Blitz Eastwards, and the anti-communist backlash sees fascist sympathies flower in UK, France, Spain & Italy. A panicked witch-hunt would do it. 'Reds Under The Beds', 'Fifth Columnists' etc etc.
Austria can be grabbed by Germany 'to protect from communism'. Sweden and Switzerland stay mostly neutral. Finland fights and loses its Winter War a lot earlier.
Keep Ed Vlll on throne in UK, 'For The Good Of The Nation' because his sympathies align with national mood...
( And the US link: They were drifting towards fascism-- Would not need much for J Edgar Hoover & Co to go on warpath.)
Uh, have Russia build a West Wall to prevent attack, and grow it into an Iron Curtain to halt flood of refugees from their seized territories. 'Western Axis' match it with a 'Maginot Line East'.
My guess is that Greece, Turkey and Middle East would reluctantly align with the 'Western Axis' rather than be consumed piecemeal, fought-over or fought through...
Given that, in extremis, communist totalitarianism is barely distinguishable from the communist variety, we'll soon see a lot of secret police, denunciations, arrests without trial and summary shootings while attempting to escape from fifth floor windows...
In effect, you have a Cold War start in mid 30s rather than at end of WW2...
One gotcha is that you have some superb naval manoeuvres, with French, Italian, RN and German battleships working together, and a fleet of U-boats waiting to interdict any Russian naval sallies...
Serious butterfly, IMHO, is that there is no Pacific War: Japan allies with Western Axis, and US goes along. So, No Pearl Harbour, no casus bellus...
Do we see combined US / IJN force invade Siberia ??
Do we see an atom bomber fly over pole from Alaska in ~1947 to level Stalingrad ??