ROME — Written between 1938 and 1944, and previously unreleased to the general public, the letters reveal desperation and fear. They reflect the humiliation, discrimination and confinement Jews were subjected to during a dark moment in European history. In one, a Milanese lawyer asks the Vatican to intervene in favor of his Jewish clients; another is from nuns entreating the Vatican to help a family of Jews travel to the United States. There are requests for travel documents, and appeals to be freed from a concentration camp. The missives are all part of a trove of thousands of letters written...