There is certainly a connection between fantasy film/literature and the need to escape, often much of this literature is classified as escapist. However I do not believe that war has any particularly special connection to its creation or consumption, other than being a time of stress.

In all the Holocaust literature I have read and taught (Night, I Survived Rombuli, I Survived: The Cold Crematorium, etc) there has never been mention of any individual, whether absolutely documented or fictionalized, seeking out fantasy literature particularly, assuming they had any option of doing so. Nor did any individual refer to the creation of fantasies particularly, other than imagined release, freedom, or end to war even if they were not captive.

It is a natural defense mechanism to avoid any stressful situation. It is likewise a part of human nature, even when not defending the psyche, to focus on pleasurable rather than painful experiences. Humans, along with all members at least of the kingdom animalia, are pleasure-seeking, pain-avoiding organisms. This is a survival tool grounded at the genetic behavior level, and humans have simply refined it to the point that pleasure acquisition (or pain avoidance) can be had through abstract means such as storytelling.

It also bears mention that the epics of earlier ages, Gilgamesh, the Illiad, Odyssey, Beowulf, and similar are specifically about war, combat, and adversity. Even the non-warring epics, such as Dante's Inferno, tend to focus on dark themes, things one would probably wish not to dwell on, yet they were crafted as literature for consumption. The notion here is that war may be, as all stressors, something to escape from, but it enjoys no special status of escape, since it, as many other negative topics, is actively depicted.

Much highly-escapist literature (fantastical and otherwise) comes out of periods of peace, that still incur much stress. Superman, perhaps the most popularly known and read comic book character, was created in 1932, during the Great Depression, but during the interim of peace between World Wars I and II. Superman might have some moralizing tendencies, as did most comics of the day, but they were stories for youths to fantasize about, revel in, and not necessarily take too seriously. That is a good working definition for escapist literature, and those stories were indeed that, even though they were created outside a time of war. The stressor then (perhaps as now, though we also have wars ongoing) was economic with unemployment topping 25%, and this bears up earlier assertions that escape is about the avoidance of unpleasantness or the seeking of pleasure, not specifically about the avoidance of the horrors of war.
Source(s):
http://en.wikipedia.org/wiki/Superman
Epics: Illiad, Oddyssey, Gilgamesh, Infero, Beowulf, etc
High school level (and beyond) behaviorist theory in various textbooks, documentaries, etc.

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