Killing Nazi-Zombies was something of a highlight in Call of Duty: World at War, the Call of Duty that was release in-between the modern ones, and that was developed by Treyarch. Because of this, many were hoping they'd be able to shoot up some Nazi-Zombies with modern day weapons, but Robert Bolding from Infinity Ward has dashed those hopes.
Speaking at the worldwide Call of Duty Finals Tournament he said "There will be no Nazis or zombies in any piece of Modern Warfare 2 downloadable content." Pretty short and sweet with no real room for interpretation.
There's always a chance that it will return in the next Call of Duty though, which is scheduled to be released towards the end of 2010.