Well, correctly the 'N' would be capitalized but not the entire word. Only way it all would be caps is in 'NSDAP.' But it really doesn't matter a whole lot
Unless you're referring to the Nazi Party, but that was dissolved in 1945. When someone refers to someone as a "Nazi" today, it's just an offensive word. Not an actual description of their political party, so there's no need to capitalize anything. At least in the context of it as an insult.