WI: No Flight of Rudolf Hess?

What if Rudolf Hess never flies to Scotland? How would that effect the war? Would Hess kill himself with Hitler or would he be captured?
 
Clearly he steals the Hindenburg and hovers it to Scotland instead.

(For reference, in HOI4, if the Hindenburg avoids her firery fate, Hesshas a chance to zeppelin-jack her instead of a BF-110.)
 
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