How come they don't mention the crazy, dark times about the countries? (EX- Nazi, the Bombing, other sick, twisted stuff I don't want to talk about O-O, ect.)

Probably because they wanted Hetalia to be a lighthearted and funny anime. I mean, the anime would be alot different in tone if they mentioned concentration camps and whatnot! O.O

Controversies galore.
If they did that a LOT of people would protest against it.
I mean look at Korea(the country). Koreans were so mad about Korea's character in Hetalia that they wanted the anime CANCELED.
So Himaruya was wise to steer clear of the MAJOR 'dark times' i.e The Holocaust in Germany and Austria or Racial Segregation in America.
Less people would like Hetalia if it was angsty like that.

because It's a lighthearted take on the events of WWII. though this article probably explains it better:

link

I think Himaruya-sensei wanted it to be heard as a funny anime and manga that anybody can enjoy. If they said the dark times (okay,I don't want to talk about those things either) it would probably not continue by angry mobs.

Because Hetalia was originally a kids show, and it focuses on the comedy. If they ever had a serious episode, it just wouldn't be Hetalia.

*sighs* But I, too, wish they would at least brush up on the serious and dark times. Thankfully, they do have a fanmade anime called Dark!Hetalia, and it gets into the gory details.

O_o