Darned right they considered themselves devout! Their Wehrmacht soldiers all had "God Is With Us" stamped on their belt buckles. They considered themselves to be defending Christian civilization against non-Christian Jews and "godless" Russian Communists.

People go on and on about Hitler and the Nazis being "atheist" only because they've got it locked in their minds that if people were that bad...they MUST have been atheist too (!)...and they haven't even bothered to look any farther than that threadbare assumption, which is based upon gross ignorance of the WWII German nation.

Religious people can act well or badly. Atheists can act well or badly. Badness is simply not dependent on, nor is it tied to one's religion or one's lack of religion.