Into the Wardrobe

Did Lewis ever comment on or write with specific reference to the extermination of the Jews and Gypsies under the Nazi regime?

Yes, I found several references to both the Jews and the holocaust. Even as early as 1933 he called Hitler's persecution of the Jews cruel iniquity. He later said his chapter on Mr. Savage in the Pilgrim's Regress best described his opinion of dictators like Hitler.
Furthermore, we can well imagine Jack's candid discussions with his wife, a messianic Jew.

Not really. Most of us who are ethnically Jewish and became Christian prefer to be called, simply, Christians. Messianic Jews are a denomination of Christians who believe in the necessity of following many Jewish laws and customs, observing the holidays, etc. Joy Davidman was not among them.

Galatians 3:27-28 As many of you as were baptized into Christ have clothed yourselves with Christ. There is no longer Jew or Greek, there is no longer slave or free, there is no longer male and female; for all of you are one in Christ Jesus.

"The victory of vivisection marks a great advance in the triumph of ruthless, nonmoral utilitarianism over the old world of ethical law; a triumph in which we, as well as animals, are already the victims, and of which Dachau and Hiroshima mark the more recent achievements."

From the end of the essay Vivisection which can be found in more than one of Lewis's essay collections. I found this one in God in the Dock.