There was a fear since back before there were even Nazis, never mind the second World War, that enough heat and pressure could cause fusion to take place in the hydrogen, helium and nitrogen in our atmosphere, which could potentially spread around the whole world, and obviously destroy all life as we know it.
In 1942, Edward Teller did the calculations that yes, it might. But than J. Robert Oppenheimer put everything on hold and spoke to his superior, Arthur H. Compton about the matter. And after much discussion the decision was made that they would proceed with the Manhatten project if AND ONLY IF it could be proven based upon serious analysis that the chances of such an event happening was less than three out on ONE MILLION. It was less than that actually because, and here's another important part that is never mentioned, Teller made a mistake in his figures. He didn't factor in heat loss so his calculations were way way off.
And the pièce de résistance? Teller lead a group at Los Alamos that examined this question, and his new figures showed that the atmosphere would not ignite. Figures that agreed with the ones independently done by Hans Bethe. But they checked and rechecked this very carefully just to make sure it was certainly not going to happen rather than hit the button and hoping all would work out. They felt that if there was even a remote possibility of this igniting the atmosphere that it was better for the Nazis to conquer the world than take that chance. Their words, not mine.