As clarified in the Trivia section for this episode, the story of the lampshades was apparently manufactured by a journalist. When Mac is discussing the human-skin lampshades of Buchenwald, he says that they were made from the tattooed skin of Jews. Most Jews do not have tattoos because of a Biblical prohibition against them. However, the Nazis tattooed every prisoner, including Jews, with their camp ID number. The prisoners had no choice in the matter. So, while it could be argued that most of the tattoos for the Buchenwald lampshades instead came from the skin of Gypsies, also imprisoned in the camps with the Jews, the entire story element is ill-founded.
In one scene Sid states that jacketed bullets are designed to penetrate armor. Jacketed bullets are not designed to penetrate armor.