Trivia: The idea of helicopters was not necessarily new in WW2, but effective designs were not made until after the war; there is evidence from some literary sources (one of them being a book named "German Secret Weapons of WW2" or something like that) that the Germans did indeed conduct experiments and designs on this vehicle type.
Trivia: When Mary goes undercover in the castle, her name is Maria Schenck. They are the middle names of Col Stauffenberg, the German officer played by Tom Cruise in Valkyrie, who tried to kill Hitler.
Answer: When the guard comes in, Burton explains what's going on. Also he is dressed as a German officer so his explanation and actions are plausible.