Not strictly holocaust, but one of the many moving Yiddish songs is Papirossen. Lucy Skeaping (Burning Bush) sings it in English on one of their CDs, it's totally heartbreaking. At the New Mills session, the tune is played upbeat, and having heard the song, I can't do it that way any more.

And holocaust, but not about it, the Ladino song 'The Trees Cry for rain': apparently sung by the Jews of Cos (?) as they embarked on the ships that took them away forever...