In this case? Yes. Even if the Nazis had Omega-like powers, you'd still want to fool them - they're not any sort of game-theoretic counterpart who you wish would trust your honesty. I'm not entirely sure I'm describing all the factors here, but this scenario doesn't even feel to me like it's about the quantity ordinarily known as honesty, there is no bond you are breaking.

The proper form of this scenario is if a Nazi soldier who's feeling conflicted comes to you and says he wants to talk to you, but only if you vow silence. You do, and he tells you that he suspects there's a Jewish family next door. He gives you a chance to talk him out of turning them in. You fail. Do you warn the family next door? Now that's a dilemma of honesty with someone else's life at stake.

And of course it can get even worse. E.g. Knut Haukelid.