Well bombing Auschwitz would be good because we would kill a bunch of nazis
but on the down side we would also kill the prisoners their. but also most the world outside of germany knew about the camps so even if we could bomb it we didnt even know about them
There were many ways varying from plain sabotage where they claimed that the Portuguese merchants were thieves, up to more controversial means such as ordering their assassinations and telling the king that he should have them killed because they didn't give him presents and plan to enrich their wealth at his expense.
Allies adopted a "Europe-first" strategy to aid the nation of France which fell under Nazi power during WWll.