Holocaust Documentary

The unnamed "Holocaust Documentary" was the film Leonard and Penny went to see together in the Season 6 episode "The Cooper/Kripke" Inversion

Episode
The film is not shown in the episode. We see Penny and Leonard walking up the stairs to the third floor where Penny is annoyed that Leonard made her "sit though all the credits" in hopes of seeing "a secret ending like in 'The Avengers'" which Penny disputes. Leonard then jokingly suggests they could show 'Bloopers'