Many Holocaust related records in France are held at the departmental archives, not local archives. Nice is in the Alpes-Maritime department, and their archive's website is https://www.departement06.fr/culture/archives-departementales-2797.html.
However, since Nice is a large city, you should also check with the city archive, https://archives.nicecotedazur.org/. Both websites are in French.
USHMM has selected records from the Alpes-Maritime departmental archives. I checked the finding aid. We do not have the Police d'Estrangers records.
Megan Lewis, reference librarian
United States Holocaust Memorial Museum