The Companion Chronicles has a 95% hit rate. You can rarely (if ever) go wrong. That said, seek out anything with Sara Kingdom (or just the First Doctor in general). Also, the Jago & Litefoot story is basically the pilot for their series, and is a cracker.

The whole thing streams free on Disney's own site, last time I checked.

The genius of that riff is that there's now a generation of fans that DO get that joke, and even make the reference elsewhere.

I figured the bad guys were like NPCs in their little universe.

I don't think it was ever noted as such, but since that was obviously "a timeline in which the Nazis won," it's not a huge stretch to head-canon it that way.