It's official: no Nazi zombies in this Call of Duty. Developer Infinity Ward has made it known, that, despite requests from the game-playing community, Modern Warfare 2 will not feature zombies like it's Call of Duty predecessor, World at War, (so wonderfully and thankfully) did.
In fact, Infinity Ward's Robert Bolding was quite final on the topic: "There will be no Nazis or zombies in any piece of Modern Warfare 2 downloadable content." Wow, ok, Robert!
Back to World at War then, everybody.
Source: IGN