In the article "The Higher Powers" in The Watchtower of June 1, 1929, it states (p. 164) :
9. If a worldly government can enact a law forbidding the use of certain drinks, that nation or government can also enact a law, and enforce it, forbidding the use of certain foods, even including bread. Jesus directed his followers to pray to God: "Give us this day our daily bread." Would God delegate to a nation or government a power that would permit that nation to make and enforce a law forbidding the use of the very thing for which the children of God were directed to pray? If it is lawful to drink beer while eating cheese in Germany, and unlawful to drink beer while eating cheese in the United States, which one of these nations is exercising the power delegated by the Lord? If the answer be, Both, then the question is properly asked: Is God declaring that the doing of a certain act is right in one part of the earth and wrong in another part of the earth?
11. Is it not therefore clear that there has been a decidedly improper application of the words of the Apostle Paul when applied to the governments of this world? When he says, "The powers that be are ordained of God," does he have any reference whatsoever to the Gentile nations of the earth ? Is it not more reasonable that he directs his words exclusively to the powers possessed and exercised in God’s organization, and not to those that are exercised in Satan’s organization ?
On this basis it seems that they did not consider that the laws of Prohibition applied to them.