It’s a very commonly cited example of alternate history. I’m surprised you’ve never heard that before. There’s been multiple books written and there’s a show on Netflix called man in the high castle, all of them exploring this topic.
To answer the question, it would be interesting to see how it played out. How long would they maintain control over the US and Allies? What would resistance look like? How long would hitlers regime have lasted before being deposed? How long before collapsing under its own weight? What would the entire Cold War era have looked like, assuming the soviets lost too, and what would THEIR resistance look like? How would technology have developed without a Cold War driven space race?
Obviously it would’ve been a catastrophe but it’s fascinating concept to speculate about.