One little mistake and you end up a bad guy, wearing black for an age and then some!
Sorry Iarwain, but going back for a moment.....
Yes, I agree that the Ringwraiths are lonely creatures, as appear most of the evil folk that populate this story. It is the timing of the wail that seems odd though. But it does fit in well, contrasting the comradeship of the hobbits, with the colorless, hollowed-out existence of the Nazgűl. But I could more easily see them expressing frustration in their chase, rather than loneliness at precisely that point in time. I suppose it serves to heighten the reader’s curiosity about them, or maybe the hobbits’ curiosity? It does make them seem more 3-dimensional, and not just flat 'bad guys'.