If I understand your question, you are asking what was the pre-WW2 version of "don't be a Nazi about" some petty thing like smoking, getting your TPS reports right, recycling, etc.

Also, I'm guessing you are curious about just-before-WW2, not what Charlemagne would have joked about 12 centuries ago.

One good source to look into this would be P.G. Wodehouse's work. Jeeves and Wooster et al. are full of hyperbolic and very witty references. While Wodehouse's career spanned before and after WW2, and one novel makes one mention of pulling together clothing ration cards for a wedding dress, it was largely set in the pre-ww1, carefree, Edwardian era, or made so little reference to when it was, that it may as well have been.

Inter alia, if that's the phrase I'm looking for, they mention Cossacks, the Mongol horde, and religious references (and you would have gotten the joke back then, when one mentioned your Aunt Agatha 'seeking whom she may devour.')

Modern, secular people have difficulty equating mostly the Old Testament + the Devil with humor, but Wodehouse and Shakespeare used to pull it off regularly. People may have been no more well behaved for all their Sunday mornings in Church, but you would get where this or that witty phrase came from, and there is much more clever material there than the Nazis ever gave us.

tl;dr - Cossacks, Mongols, the Devil.

I guess a good rephrasing might be, were there any jokes that we know were meant as shockingly humorous but that were known due to their shock value and subject to cause discomfort among the general public?