I was wondering that earlier too, but while looking at some of the pictures I found one in particular that was related to that question. Cool, I found it again.
Exhibit A:

Looks like open bomb bay doors to me... that or the pilots
really needed to compensate for something.
Here is another variation, and one of the above pictures has one too, I'm thinking drop tanks.

And If I'm translating this spanish I'm reading on this spanish site correctly and assuming it's accurate (
http://www.machtres.com/he111z.htm), only 2 He111 prototypes were constructed, only 10 He111-1 models were produced, and a He111-2 model was a bomber version that was never constructed... leading me to assume the He111-1 models were not constructed for bombing purposes.