[Marc Montgomery]

I've alway written it as ANZAC as an acronym. If one is a soldier member of the organization it would be " he is an ANZAC soldier"
in the same sense as we always say for example CSIS (Cdn Security Intelligence Service) as in "he is a former CSIS agent.
Without New Zealand,, would it would AAC? or Aac? New Zealand of course should always be capped NZ. like USA..... or how about USAAF..that could be "nouned" but no-one ever does it

I dont think it should be a noun.

Nazi would not be all caps as its not an acronym, but a short form.

Nazi by the way was originally a diminutive of the name Ignaz, (common in Bavaria and Austria) and evolved into a perjorative..as in dummy, or goof. Although it had been used ear
Naso was common in Germany, Konrad Hieden, a well known journalist before the war and Jewish..always used Nazi..knowing its perjorative origins...however it did catch on in Germany but not to the same extent in the rest of the world. I wouldnt be at all surprised if Churchill knew of its perjorative origins.

Communist regime post war, such as DDR. never used the full form "nationalsocialismus" because of a potential connection with their own 'socialismus" and so always used Nazi.