That’s actually an interesting question - particularly since most of us might not be consciously aware of the effective restrictions in our country, since we internalized them.
For example, a game where you play a KKK member, and have to kill as many black people as possible, and the entire process would be presented in a positive context within the game, would almost certainly receive major backlash in the United States, to the point that it would not be very different for you as a developer from if it was banned in the first place. The same would apply to a game where, instead of killing people, you have to rape them.
So, while there is no real “banned content” in the United States, you should probably stay away from any content which is racist or non-consensual sexual. Even consensual sexual content might get you into serious trouble if it’s too explicit. Aside from that, I believe you can do pretty much everything you want (even a hypothetical Holocaust Tycoon might be ok, although I am not entirely sure about that).
As for Germany, a “Holocaust Tycoon” would definitely be banned, as would be any other one-sided positive depictions of Nazi actions. Intense visual violence might also get you banned. For example, in Red Alert 1, all soldiers in-game were replaced with cyborgs. Similarly, in Command&Conquer Generals, suicide bombers were replaced with rolling bombs.
So, depending on what you want to do, you would have to adapt your game to the Germany market, but probably not in a way that it significantly changes the content of the game. And Nazis are ok, as long as they are not the good guys.
I am curious what this looks like in other countries?