Not all the wartime (and pre-wartime) documents on Edward and his German connections have yet been released. As I'm sure you know, this sometimes happens with ultra-sensitive stuff. I am surprised that you have never before heard about the relationship between the Duke of Windsor and Nazism. Don't forget that in the thirties much of the aristocracy were so concerned about Soviet communism that Facism was seen not as the lesser of two evils but rather the solution to the problem.
The following are known facts. While they do not offer absolute proof , they represent pretty strong circumstancial evidence.
Following Edward's accession, the German embassy in London sent a cable for the personal attention of Hitler himself. In part, it read: "An alliance between Germany and Britain is for him (the King) an urgent necessity." Alan Lascelles, Edward's private secretary, gave his own harsh judgment of the situation: "The best thinthat could happen to him would be for him to break his neck."
In October 1937, Edward and his wife - by now the Duke and Duchess of Windsor - visited Nazi Germany. They met Hitler, dined with his deputy, Rudolf Hess, and even visited a concentration camp. The camp's guard towers were explained away as meat stores for the inmates.
At the outbreak of war, the duke served as a military liaison officer in Paris before eventually ending up in Lisbon after the French capitulation. Hitler, wishing to bring the duke into his camp, made an abortive attempt to coax Edward and his wife to Spain, which was then, of course, sympathetic to the Nazi cause.
But the duke soon moved on to become Governor of the Bahamas from 1940-45. It was while he was there that he is said to have made his views explicit. He reputedly told a journalist that "it would be a tragic thing for the world if Hitler was overthrown". To an acquaintance on the island, the Duke reportedly said: "After the war is over and Hitler will crush the Americans...We'll take over...They (the British) don't want me as their King, but I'll be back as their leader."
The FBI has released some files which include an opinion that the Duchess of Windsor was having an affair with Joachim von Ribbentrop. (It is known that she had a number of affairs after marrying Edward.) A memo dated 13th September 1940, sent by an FBI officer to J Edgar Hoover says: "An agent has established conclusively that the Duchess of Windsor has recently been in touch with von Ribbentrop and was maintaining constant contact and communication with him. Because of their high official position, the duchess was obtaining a variety of information concerning the British and French official activities that she was passing on to the Germans."
Files released in this country in January 2003 allege that that Wallis Simpson was a 'Nazi agent'. It was rumoured that Wallis had access to top secret government files which were sent to King Edward, and which he notoriously left unguarded at his Fort Belvedere residence. Even as Edward was abdicating, reports were sent to the Home Office from a Special Branch man following Wallis in exile in France, claiming that 'Mrs. S. might flit at any moment . . . to G [flee to Germany].'
The Austrian ambassador, Albert Mensdorff, reported on a conversation he had had with the then Prince of Wales 1933. He wrote of his amazement that the prince openly stated his sympathies for Nazi Germany. Edward also announced that, due to the communist threat, Britain would also ultimately uphold the beliefs of the Nazis. The prince said he wanted no more war but, if it should come to that, Britain must win and that meant siding with the Germans, not the French. The ambassador asked Edward his opinion on ending the National Socialist dictatorship, but the prince did not reply. Mensdorff got the impression that he hadn’t really given much serious thought to the ideas they had been discussing. Nevertheless, Edward did not seem to be shy about airing his views of Germany.
That's enough to be going on with...