It's true! If you look closely at the WWII canon, the protagonist makes several references to something called the 'Treaty of Versailles,' which, as it turns out, is the treaty that ended The Great War.
The protagonist of WWII also fought in The Great War for a while, though it's obviously never mentioned on screen.
This has lead a lot of fans of the franchise to suspect a WWIII sequel could come out in the future, or maybe the references are all just Easter Eggs.
Foolishness. They took place in all universes.