Jin-Roh: The Wolf Brigade

The story is set in a parallel 1950s Japan, in which Germany has conquered Japan. It focuses on Kazuki Fuse, a member of the elite Kerberos Panzer Cops, a metropolitan antiterror unit. Fuse confronts his own humanity when he fails to shoot a young female terrorist. The girl detonates a bomb in front of him, only killing herself. The incident damages the reputation of the unit and Kazuki is punished. He visits the ashes of the dead girl and meets Kei Amemiya, who claims to be the elder sister of the terrorist. They develop a relationship. Kei is eventually revealed to not be the suicide bomber's sister but instead a former bomb courier and a honey trap acting on behalf of the Special Unit's rival division Public Security. Read more on Wikipedia.