I know that feeling (I'll give you a guess as to where I got this nick from.) I originally read it in Dozois' yearly anthology around 2000-ish, and it's definitely one of my all-time favorite short stories. I love the "banality of evil" feeling it has to it, plus I like that it's more serious in tone than the Laundry Files books, makes it more, uh, effective somehow.
FIRST LAUNDRY FILES BOOK SPOILER AHEAD. IF YOU ARE NOT CLEARED FOR THE LAUNDRY FILES, PLEASE EXIT THE BRIEFING ROOM NOW
The description of the Nazi Moon base in the dead parallel universe really had the same sort of despondent and slightly terrifying feeling to it, so there's parallels there