Helium is twice as heavy as Hydrogen, much harder to find on earth (it's literally named Helium because until recently it was believed to only exist on the Sun)

So more expensive and you gotta use a lot more of it for the same lifting power, also Hydrogen can be used for this safely, the Nazis just were cutting corners to not have to give any credit to the Americans who at the time had a monopoly on the resources that would have let them go with helium or that would have let them coat the ship safely.