Answer:
The term "Holocaust Cloak" is from the movie "The Princess Bride". The main character, Westley, wishes for one when he and his friends are making plans to storm the evil prince's castle. It has nothing to do with the Jewish Holocaust of WW2.
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According to WoWWiki <http://www.wowwiki.com/Cloak_of_Flames>, a holocaust cloak is another name for a cloak of flames. It is a heavy garment that is meant to ignite, either due to the rage of the wearer as punishment, or on command from the wearer as protection against attackers.