Brainstorming a Dieselpunk game world
It depends very heavily if there are actual "superpowers" in your setting or if its all superscience and extraordinary but otherwise normal individuals. If there are powers, do they all come from the same place? Or the same sources?
For example, you could have the alien craft crash in occupied France. The Resistance is working furiously to ship samples of alien technology across the English Channel before it is all carted away to Berlin where it could prove decisive in the war effort.
One source of powers of course is the Alien Vessel itself. There could be a book or document within that, upon decryption, details certain serums. When used on humans, it creates enhanced humans. Superhumans. Hitler tipped his hand by revealing his new "Ubermensch". French Resistance had made a copy and now that they know what they are looking for, Bletchley Park decodes their own formulas for Augmented Humans.
Given that they were likely not engineered for humans, the formulas are unpredictable. Sometimes they result in catastrophic failure resulting in death. Most of the time, it does nothing (apparently). For a precious few, it results in powers and abilities beyond that of mortal men.
If you want occult powers, the Thule Society on the Nazi side is an obvious choice. Perhaps the Freemasons for the Allies? You could set up a brewing rivalry between Augmented Humans, Superscience Heroes and Occultists. On each side they are controlled and championed by different factions, interservice rivalry at its finest.
If you want Lovecraftian elements, anyone using powers risk their sanity. The superscience? It belongs to the Great Old Ones. Magic? Great Old Ones. Augmented Humans? Mainlining Great Old One mutagens. The ship was sent by a friendly civilization to warn us, with samples of the kind of things Great Old Ones can do. That they were shot down means that the Great Old Ones sleep lightly....