And why does he think Walt felt the need to save Jesse in the first place? He had alreadty killed Jesse once. Thinking that Jesse being inkahoots with the nazis to make his product just added fuel to the 'kill jesse' fire. So there was no 'save Jesse' mindset while prepping for this. Once he saw that Jesse was officially in ##### mode, he took pity on him.
In fairness, he wasn't saying Walt felt the need for Walt to save Jesse (when devising the plan), but that Gilligan felt the need for Walt to save Jesse.
I will agree that a bomb would have been his first choice to attack the Nazis but that wouldn't fit with the change in plan for him to save Jesse.
When he first heard Jesse was alive he wanted kill him along with the Nazis and baited Jack into bringing him into the room. However, when he saw Jesse he changed his mind.
Now why would he want to save Jesse? I think it's because he was done lying to himself and finally realized that everything was his fault, including even what Jesse had done to him.