According to TCM - and note that TCM and Turner Entertainment, which owns GWTW, are both subsidiaries of the same company - GWTW finished principal photography on July 1, 1939. According to the Trivia in this IMDb entry on Raffles (1939), "The movie was to have been filmed in England. The war in Europe caused the studio to change its production plans." WWII started on September 1, 1939. So GWTW was filmed first.
