Planet Fegelein (or "Planet F") is a planet, presumably somewhere in the galaxy.
It is home to the Antic-Aliens, aliens possessing high-tech weaponry ("antic lasers") and basing their actions around antics. They also can travel to other planets using flying saucers.
Little is known about the planet itself. But because of the name and nature of the inhabitants it is assumed to run naturally around antic-doing and intrigue.
It has been referred to twice; in Benad361's parody "They came from Planet F" (a special parody to celebrate 400 subscribers) and HitchcockJohn's parody "The Fegel-Thing" (a special Halloween parody).
In the former, the antic aliens are seen encountering Hitler and the planet is referred to by Fegelein, and in the latter (a parody of John Carpenter's The Thing) a strange shape-shifting creature known as the "Fegel-Thing" from the planet manages to infiltrate the bunker and cause predicable chaos. Fegelein claims "it's from Planet F" to a contemptuous Jodl.
In both parodies Fegelein has known of the planet and the inhabitants. Since it is named after him, the strong implication is that he may have alien roots and may have some kind of high position or social status, hence why the planet is named after him.
In Captain Willenbrock Performs the Ultimate Antic Heinrich Lehmann-Willenbrock refers to the "Antic System", though whether this is the actual Star System where Planet Fegelein is located is unclear. An associate also referred to "Planets M, T, and W" (presumably Merriman, Tukhachevsky, and Werner or Willenbrock), suggesting that there may also be planets named after other antic masters.