"Nazi" is a trademark of TSR, inc - at least if you believe the urban legend.

One of the cardboard figures that came with TSR's old Indiana Jones game had a Nazi soldier, and it had a ™ symbol at the base.

The trademark was apparently only for the Nazi soldier picture, but many people thought that TSR had trademarked the term "Nazi"! Besides of that fact, the trademarks related to Indy belong to Lucasfilm, not TSR...

The damage was done, however: this one of the reasons why many people called TSR "Trademark Symbol Required"... =) To see another nazi/TSR connection, see TSR Copyright Debate.

I learned of this myth via Usenet and Murphy's Rules, and the myth was debunked here: http://www.pick.ucam.org/rpgfaq.html