Cheb was a center of Nazi activity and propaganda. I am very sorry that your grandparents were victims of the Holocaust. I hope the story of their ordeal has been written and recorded so it is never forgotten.
Do you know about the "American Gathering of Jewish Holocaust Survivors and Their Descendants. They publish a newspaper for the benefit of survivors and their families, and someone there may be able to help you. Their address is:
122 West 30th Street, Suite 205, New York, NY, 10001. Their phone number is (212) 239 4230. E-Mail < firstname.lastname@example.org
There are researchers and geneaologists who specialize in Jewish family research. Many old archives in the Czech Republic have survived and more are becoming available all the time. I sincerely wish you good luck in your search.
My Weiss ancestors also came from Bohemia, but emigrated to what was then Northeastern Hungary in 1804. (Now it's Ukraine) As far as we know, they were Roman Catholic.