IEHB: Rav Elchonon Wasserman’s exact words, as he wrote (in which the ksav yad is available), is thus:
“The yeshivos in America which are able to bring over students are the yeshivas of Dr. Revel (named Yeshiva University) in New York and Beis Midrash L’Torah in Chicago and they both are places of danger in terms of spirituality because they conduct themselves in a spirit of freedom. And what benefit is there to flee from a physical danger to a spiritual danger.”
Unambiguously, Rav Wasserman hy”d is saying it is better to die at the hands of the Nazis than to be saved by YU due to its spiritual danger. Clearly he is referring to the risk of one’s spiritual death being a greater tragedy than one’s being physically killed.