AskHistorians

Because the original skinheads were working class punks and the fascists wanted to appeal to the working class. It spread from there

The shaved heads thing started well before neo-nazis started infiltrating the skinheads movement. There are still skinheads who aren't fascists. SHARP skins, for instance. "SHARP" stands for "Skin Heads Against Racial Predudice." And they're pissed that the fascists came in and fucked up their subculture.

I saw an interview with an ex neo-nazi a while back, and he said it was mostly to look intimidating.

Probably comes from skinhead culture. This is the reason for the baldness Wikipedia has:

For instance, the defining skinhead short haircut mostly emerged in reaction to the perceived shift in men's styles away from traditional masculinity, which was embodied by the "middle-class, peace-loving, long-haired student" of the hippie movement.[1]

https://en.m.wikipedia.org/wiki/White_power_skinhead

They proliferate mostly in prisons. Prisons very commonly shave inmates heads on a regular schedule so as to cut down on lice and other hygiene costs.