The Coldest War is the second book in The Milkweed Triptych, which is an alternate history (cosmic horror*) series set in England and Western Europe during the Second World War and some years thereafter. The first book (Bitter Seeds) in the series came out in 2010: there apparently had been some sort of epic disaster in getting the sequel published, but apparently that’s all been settled.
The Coldest War is a good book, but you ABSOLUTELY MUST READ BITTER SEEDS FIRST; this is no more a trilogy than the Lord of the Rings was. Not to give away the plot, but it appears to be developing a scenario that is not unlike the one in James P Hogan’s The Proteus Operation: only, again, horror rather than science fiction. I suggest checking out all three books, but if you haven’t read the Hogan one yet read that one first. It’ll cheer you up enough to let you withstand the not-quite-subtle despair found in the other two.
*Not Lovecraftian, per se, but HPL would have enjoyed the concept. He might have found it a bit sparse, but he would have enjoyed it.