This project from the U.S. Holocaust Memorial Museum seeks to find out how long Americans knew about Nazi atrocities before the end of WWII by digging up newspapers from the era. You can search through the newspapers that have been found so far, or even contribute your own by searching in local archives. If you scroll down a bit, there's a map where you can search articles by state:
Read about the "early warnings" in the American press in this interview with author Andrew Nagorski, published in The Atlantic:
This interactive timeline traces the events of the Holocaust from 1933 to 1945. There are some clues about Allied knowledge throughout. For example, on June 3, 1942 the BBC announced that "700,000 Jews have been killed in Poland":
This article from Facing History titled "What did the world know?" also addresses the question:
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