For anyone unfamiliar, his sister was a Nazi, and after he died she managed his legacy in the worst possible way.

Nietzche had an interesting relationship to Jews and Judaism, informed over time by his own personal relationships in ways that probably didn't influence his philosophy for the better. Parts of his work is about what he considers to be strong cultures, at which point he praised Judaism for being a particularly strong culture. Later in life he was less positive.

This of course comes on top of his thinking about religion, which is less one-sided than often portrayed: God is dead, we killed him, but importantly that was in all likelihood a huge mistake.

So the Nazi connotations are partly a result of his sister's management of his legacy and unfinished/unpublished works after his death, part how Nazis ended up using his works long after his death.

He ended his life living with his sister in a rather fragile state, with his great writings behind him. Judging him by his death bed would be doing him and his work a great injustice. But even then there's no evidence to indicate he was some sort of proto-Nazi.