Luxemburg was invaded by the German Army in May 1940 and was annexed to the Third Reich until its eventual liberation in Sept 1944. The country was initially placed under a military administration but control was later passed to a civilian government before finally being directly annexed to the Third Reich.
Michel 33 to 41 "Winterhilfwerk issue with 'Luxemburg' Overprint"
Issued: 12th Jan 1941. Regular issue German Empire Winterhilfswerk stamps with black 'Luxemburg' overprint. These stamps were valid Until 31st Mar 1941. From 1st Jan 1942 until the re-establishment of the Grand Duchy on 29th Sep 1944, only the regular stamps of Germany were allowed to be used in Luxemburg.