"Siege" is a 1940 documentary short about the Siege of Warsaw by the Wehrmacht at the start of World War II. It was shot by Julien Bryan, a Pennsylvanian photographer and cameraman who later established the International Film Foundation.
This is a crucial piece of film, because although the United States was not directly involved in WWII until 1941 (and not in Europe until 1944), we ere clearly aware of what was going on, and not just through second-hand reports.
"Siege" was nominated for an Oscar for Best One-reel Short at the 13th Academy Awards in 1941. Somehow it lost to "Quicker'n a Wink", a short film about strobe lights... not sure what the voters were thinking.