It was mentioned in RFJ that Jeeves "dabbled" in WWI, and Rowcester (sp?) said he had been in WWII, but that was the only mention of wars in the book, I think, and nobody asked where Jeeves and Bertie had been during WWII.

I assumed Jeeves became a spy and Bertie was found unfit for combat. Bertie probably became a mover and a shaker on the home front, as the Code of the Woosters would not have allowed him to abandon England during a war.