[Zhang Fei]

[Nobody heard about Holocaust in 1942 and they wondered where did she get the idea.]

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No one had heard about the death camps. But Jews who had relatives across the fluid border (due to the ebbs and flows of war) who suddenly stopped hearing from them? Plenty of those. And then there were Babi Yar and Odessa:

https://en.wikipedia.org/wiki/Babi_Yar
https://en.wikipedia.org/wiki/1941_Odessa_massacre

Note that there were partisans in German-held territory who would not have missed the mass graves, some of whom would probably have personally witnessed the mass killings from afar, thanks to elaborate concealment tactics combined with binoculars.

[NorseViking]

German antisemitism wasn’t an aspect of Soviet propaganda until later in war anyway. Maybe the rumors were spread but that is all.