How are the themes of war and religion treated in the poem "Lady Lazarus"?

Images of, or allusions to, religion and war are used throughout the poem to help convey the speaker's emotional state. Most of these images are not stated directly, but rather are implied by references to Nazism and the Jewish Holocaust and thus, more broadly, the second world war.
For example, in stanza 2, the speaker says that her skin is as "Bright as Nazi lampshade." During the Holocaust, Jewish prisoners in concentration camps were executed, and then their body parts, including their skin, would often be recycled. The reference here to a Nazi lampshade made from the skin of an executed Jewish prisoner alludes to the horrors of the speaker's life. This comparison suggests that the poem is written from the perspective of a victim of the Holocaust.
These allusions to the holocaust run throughout the poem. Later, for example, the speaker says that she is "A cake of soap, / A wedding ring, / A gold filling." The fat from executed Jewish prisoners was often used to make soap, and wedding rings and gold fillings were often taken or extracted and then melted down. Thus a Jewish life was reduced to the value that could be physically extracted from it.
In the penultimate stanza of the poem, there are two direct religious references, when the speaker addresses "Herr God" and "Herr Lucifer." "Herr" is the German word for "Mr.," and so here the speaker is implicitly positioning both God and Lucifer as German officers. She warns them both to "Beware" her revenge and implicitly blames them both for her ordeals. The fact that she blames both God and Lucifer suggests that in her life, there has been no division between good and evil. God has been absent, and seemingly indifferent, and is therefore as guilty as Lucifer.