Well I'm not religious about it in any way and never was.
And sure, I hate the Nazis but who doesn't? It's still history, and I kind of see the characters in Hellsing as not actually being Nazis since they don't show any signs of racist or even elitism. They just want to destroy London.
So I laughed hard when they made blowing up the tower of London look cute. War is war, there really isn't anything unique about WW2 from other wars besides the sheer success they had, which is tragic.
If Hellsing tried to make the holocaust look cute, I'd be pissed. But it barely even touches the subject. In the manga there was something small but nothing bad. They used a silver tooth stolen from a Jew's mouth to kill a Nazi monster, but that's highly appropriate in my book.