If I can't build nukes by 1939 then by golly gum I'll be sending a strongly worded telegram by the first autogyro straight to Stockholm.
Hypothetically it's possible, after all much of the research had been around for years beforehand. It's going to be difficult to pull off before the war, however, as the powerful drive for the ultimate wartime weapon was not there (I'm not sure if being at war will give you a research boost to weapons though), and Einstein was still living in Germany at that point (once again, I'm not sure how the game will represent him).
Hypothetically, if you invade Germany in 1933 when they're still weak, you can crush them and nip the threat at the bud, then set up a puppet state (and sell east Prussia to Poland

) and then push your nuclear tech hard until 1939, when you break off Germany as your puppet state and nuke the heck out of them. They will, of course, be extremely confused, but you won't. You'll be getting your revanche
