The Allied prisoners who were captured on the Western Front in 1944 and 1945 were collected by units called Auffanglager or Auflags (roughly translated as "reception camps"). From there, they were shipped, generally by train, to the main POW camps (Stalags). For the most part, they were sent to camps in northern Germany and Bavaria. Two of the camps which held the largest numbers of American personnel captured during the Battle of the Bulge were Stalag VII A in Moosburg and Stalag IX B in Bad Orb. Prisoners from the latter were sent to forced labor at the infamous Berga camp, which was a subcamp of Buchenwald concentration camp. Many of the British paratroopers from Arnhem were taken to Stalag XI B/357 in Fallingbostel. A number of prisoners wrote memoirs about their experiences in these camps, but secondary literature on the subject is lacking.

We know that some prisoners were executed in reprisal actions (including the Malmedy Massacre, as you mentioned), and that suspected Allied special forces members were sometimes killed under the criminal Commando Order, which was issued in 1942. I don't have exact figures for this at hand (and I'm not sure if they've been calculated).

Captured Allied airmen were taken to a transit camp called Dulag Luft, where they were interrogated (and, in some cases, tortured) before being taken to specialized camps for air force personnel (Stalag Lufts). Some downed airmen were also lynched by the local civilian population, who blamed them for bombings which killed German civilians. Kevin Hall recently published a book about this phenomenon called Terror Flyers with Indiana UP [disclosure: he and I overlapped as graduate students and shared a doctoral adviser].

By this point in the war, conditions in German prisoner of war camps were quite bad. There were shortages of food, water, and medicine, and the camps faced frequent threats due to Allied bombings, from which the Germans often didn't adequately protect the prisoners. They were also used for forced labor on military projects, which is explicitly prohibited under the Geneva Convention (and further exposed them to danger from air raids). Many prisoners attested to these conditions in postwar testimonies, which are available for research at NARA in College Park, MD. However, it should be noted that they were still treated better than Soviet POWs, who always received the worst treatment.

I don't know if there's been any research into the fates of Polish soldiers incorporated into Western Allied formations. The Germans generally treated Polish POWs worse than Western Allied prisoners (although still better than the Soviets), but if there's been a specific study of that group of prisoners, I'm not aware of it. I haven't encountered any primary sources that speak to this question either, so I apologize for the incomplete answer.

Comprehensive documentation in secondary literature of the treatment of Western Allied POWs in German POW camps is lacking (particularly in English). Much of the historical literature (almost exclusively in German and Russian) understandably focuses on the mass murder of Soviet POWs (although even this aspect is barely documented in the English historiography).

Sources: Gianfranco Mattiello and Wolfgang Vogt, Deutsche Kriegsgefangenen- und Internierten-Einrichtung: Lagergeschichte und Lagerzensurstempel, 2 vols. (Koblenz, 1986-1987); NARA II, RG 153. There is also the forthcoming Volume IV of the United States Holocaust Memorial Museum Encyclopedia of Camps and Ghettos (2022) that addresses Wehrmacht camps.