I think you must mean 'Play Dirty' ( 1968 ) which starred Michael Caine, Nigel Green and Nigel Davenport.

The plot revolves around Caine - a petroleum company executive - being reluctantly 'volunteered' to accompany a LRDG/SAS-type group deep into the Western Desert to sabotage an Afrika Korps fuel dump ( which turns out to be a fake ). In the final scene, Caine and Davenport ( dressed as Germans ) are shot by an 8th Army soldier with a Sten - cue 'Lili Marlene' which is first heard earlier in the film as Davenport drives his SAS-type Jeep back to base......

The film has a very cynical tone and interestingly is based on a book by 'Zeno' who fought at Arnhem.

Nigel Davenport gives an excellent performance, though - worth watching for that alone......

__________________
"Stand by to pull me out of the seat if I get hit" - Guy Gibson