They gathered the data from other captured aviators.

The Luftwaffe had managed to assemble a group of very skilled English-speaking interrogators, the foremost among whom was Hanns Scharff, the man who could get ‘a confession of infidelity from a nun’, based in the Oberursel Dulag Luft (air force camp).

Their preferred method was not physical torture, even though the newly-captured POWs were usually kept in deplorable conditions: cold, no sunlight, horrible food, not a soul to talk to. One American airman, navigator Lou Loevsky, recalls being given a meal ‘of stale black bread and evil-tasting ersatz coffee made from oak leaves and coal’ on his first day. Deliberate mistreatment of prisoners can and should be interpreted as torture, as should be the case of threats that one’s wounds would not be treated (strictly speaking, such a threat is a war crime in and of itself, in violation of Article 15 of the Third Geneva Convention). Or that no information would be sent regarding the fact that the airman was alive (which would mean an ordeal for the family, unsure of whether their son/husband/brother was still alive). In some cases POWs were even threatened with being turned over to the Gestapo as spies, which would have amounted to a death sentence.

I’m saying this upfront so that nobody can cherry-pick this answer to say, ‘see, the Germans didn’t torture their prisoners.’

All this having been said, it’s true that torture in the narrow sense of the word was not the preferred method of interrogation. The Luftwaffe interrogators knew that with the proper application of mental pressure and ostensible friendliness one could entice a person to reveal more than with a billy club and pincers or a red-hot iron.

Scharff would take the POWs—especially officers—for walks during which they would talk about American movies over a nice cigarette. This conversation would then smoothly flow to topics such as life in England and America, the airman’s favorite pastimes, his friends, not even necessarily from his unit, but maybe even those who were back home. As Donald Miller puts it, the ‘conversation became so congenial that many airmen were unaware that the interrogation had begun.’ (Donald L. Miller, Masters of the Air, Simon & Schuster 2006, p. 386)

The interrogators would indeed keep meticulous files on aviators (down to lieutenants, yes, and even below that) from which they were able to extract data which would be used against leverage against other airman. And this was a powerful weapon with many possible applications. Imagine Scharff saying something along the lines of, ‘We have all of this, we probably know more than you know yourself, and we’re just looking for confirmation, so tell us what you know and we’ll send you to a more comfortable establishment where you’ll spend the remainder of the war in good health.’ One must never under-appreciate the influence that being cold, hungry and dirty can have on a person’s psyche.

Here’s an anecdote that’s a personal favorite of mine which shows how a minuscule piece of gossip extracted from one officer could be used for blackmail against another:

One stubbornly tight-lipped officer—married and with children—was told that if he persisted in his obstinacy, a report would go out the next day from the German radio station in Calais that the night before he was shot down he had been at the Grosvenor House in London, in room 413, with an attractive blond woman. Knowing that the information was exactly correct, the major is reported to have fainted on the spot. (Miller, Masters of the Air, p. 387)

Such details would be supported by information gained from American papers acquired through neutral countries such a Portugal as well as any documents found on a captive (e.g. pilots’ logbooks or diaries).

A case in point is the airmen’s ration cards. Every American flier in the European Theater received exactly the same kind of card, and there was nothing on the card to indicate where he was stationed. But investigators at Dulag Luft were able to identify an airman’s bomb group by the way his card was canceled. At Thorpe Abbotts, for example, the clerks on duty in the PX marked the cards with a heavy black pencil. The PX counter was made of rough board. All the cards canceled there carried the impression of its distinctive pattern in the black pencil markings. The Air Force’s Counter Intelligence Corps estimated that 80 percent of the information obtained by Dulag Luft was supplied by captured documents and monitored radio traffic, with the remainder coming from POW interrogations. (Miller, Masters of the Air, p. 388)

Knowing private details about a specific person was especially valuable to the Germans, as it projected an apparent omniscience and gave the person a feeling that it was pointless to hold anything back. And yes, it’s actually quite remarkable that they were able to access the data required with such efficiency before the times of Ctrl+F. However, after writing out all of this I haven’t the faintest idea as to how the Germans would have been able to obtain the Jefferson family’s tax records. As to high-school records, I would make an educated guess: Jefferson himself recalls in his autobiography Red Tail Captured that he was the only African-American in the school participating in college preparatory classes; therefore, his profile might have appeared in the local press and the Germans could have then acquired the relevant clippings.

EDIT: With thanks to u/bshoop6063, whose musings prompted me to take one more look into Red Tail Captured, I would like to add the following: Jefferson states in the book that the Germans told him about the taxes, and not that they showed him the tax returns as such. Therefore, it's perfectly possible that the interrogator was lying, using an approximated guesstimate, in order to reinforce the omniscient image.

Do you have a source for this anecdote?