The key word is "alleged". And who is doing the alleging? People associated with George Soros, who really was collaborating with Nazis in that era.
Russia outlawed all organizations, even the Boy Scouts and religious groups in Hungary while under Russian rule, calling them all Facists. Couldn't find any relationship between the group and Nazi Germany.
The papers of General vitéz Hugó Sónyi are cited in the Online Archive of California. Sónyi is described as: "A colonel general in the Hungarian army, Sónyi commanded the Hungarian armed forces from September 1936 to March 1940. From 1945 until his death in 1958 he lived in exile in West Germany. The important achievement of Sónyi's exile years was reestablishment in 1953 of the Hungarian order of merit known as Vitéz, or Vitézi Rend in Hungarian. The Order of Vitéz, founded in 1678, revived in 1920, and abolished by the Soviet-imposed Communist government of Hungary in 1946, had been an important symbol of Hungary's historic commitment to independence and territorial integrity."