My general approach to handling “canon” when it comes to using fictional settings in an RPG generally follows the “World War II Doctrine”: Gaming in an established, fictional setting is no different than playing a game that’s set during World War II.
With that being said, there’s a broad spectrum of ways in which you can set a game in World War II at the gaming table:
A) The events of World War II as they happened historically can’t be changed, but primarily exist as a backdrop. You’ll hear about the events of the war, but you’ll never actually meet Hitler or change the outcome of the Battle of Midway.
B) You can meet Hitler, but you can’t shoot him. If you do shoot him, it will turn out you shot a double and history continues along unperturbed.
C) You can totally shoot Hitler.
There’s also the semi-tangential issue of the Alternative History Remix: This is the one where you decide that in your version of World War II, Germany is led by a guy name Hans Strauber and they’re fighting the White Alliance of Brittania and Charlegmania. (Or whatever.)
There’s also a second, rarer spectrum in which the PCs are actually canonical characters. Let’s call it the “Dragonlance Spectrum”:
A) You are playing the members of Hitler’s cabinet, but you’ll create an original character (replacing their historical analogs).
B) You are playing the actual, historical members of Hitler’s cabinet, but you’re free to take whatever actions you want (even if those contradict the historical reality of what the cabinet did).
C) You are playing the actual, historical members of Hitler’s cabinet and you’re going to be railroaded into experiencing World War II exactly the way that they did.
(Actually, this one is probably a little less of a clear spectrum. You could theoretically play non-canonical characters who are nonetheless being railroaded through the same events.)
I think it could be fun to let the players think it is top option b but then surprise them with c. For example, in The One Ring, Bilbo has become a famous Hobbit but maybe he lost the ring in Smaugs lair. Imagine the shock when the players discover the ring and are tasked with securely hiding it.
Options B and C in the second section sound awfully like tabletop wargaming.
I believe that whether running in a historic or fictional setting, Events of historical significance are a backdrop against which the adventuring takes place, and also a metronome, that takes the sandbox campaign from the beginning to the end. Picture a campaign set in Hiroshima, Japan, in the beginning of 1940. It will have a predictable end on August 6, 1945. Of course, a campaign needs a more detailed timeline and hopefully, the players will have SOME influence on the outcomes of the major conflicts, but that is not necessary.
Of course, the players can have an impact on major historical events in the campaign. if they care to act, which the sandbox does not require, without railroading or a trail of crumbs, but to influence events, will require a high level game from the players. By high level, I don’t mean high-level characters, I mean that the players will have to play extremely well and be successful to a point where they rise to the level of Dukes and High Lords, who CAN influence the historic events. There are no winners and losers in fantasy role playing, but there ARE. Players, who get absorbed dungeon crawls and magic item hunts, will in the end be swept away by historic events and will be the victims of end game. On the other hand, those players, who engage the game world, will have a shot at being the decision makers involved in historic events. Keep in mind, that no matter, how high a player character climbs on level ladder, there will be a society of his or her equals, and higher, and those others will be organized into networks and alliances to stand against the lone high level character or a party of high level characters, if they choose to stay apart and not engage. A lone fighter carving out a stronghold in the wilderness will in the end game have his domain overrun by whatever force that will have him or her fighting a losing battle for survival in the end game.