Mars is a planet in the solar system where Earth is located.
B.J. was once transported to a Union Aerospace Corporation base on or near Mars by Nazi time travel technology. The Nazis were stealing technology form the UAC and bringing it back to the past in an attempt to win the war.
B.J. Blazkowicz III his descendent also fought demons at a UAC facility on Mars on multiple occassions, and later Phobos, Deimos, and even Earth.
It is possible that Nazis of the New Order have technology to colonize Mars, if they haven't already.
Behind the scenes Edit
Note an image in Miision 3 appears to have 'solar flares' which indicates that it is an image of the sun, rather than the red planet. However it does have certain surface characteristics similar to photos of the red planet (but these are actually sun spots).