[akhtene]

You know, Morwen, there may be something in your idea of the Nazgul coning back at a later Age.
As they were mortal by origin, their ways after physical death were not known (and thus not controlled) by the Valar. And I doubt the Witch King was eager to face Mandos or any of the Powers. Having once defied them, he could prefer to stay in M-E waiting for the second chance, the more so that at the time of his death the War wasn't as yet lost by his side and he stil had his hope.