Note that, like many 'Mericans my age, I pronounce the word for the WWII National Socialists as
knot-zeez. I'm not sure that my British cousins will read/hear this correctly as I'm trying to explain it (I was horrified to learn how y'all pronounce the letter Z and the number 0). Visually, looking at the letters on the page, I can easily connect the two words, but on hearing the word for the Ringwraiths, the connection with the Nazis would be weaker.
The connection may or may not exist for some. Still, I think that the spoken 'harshness' of the word
Nazgul was intentional.
*Note that, as an 'Merican, the reference to and the exist of the Oxford English Dictionary,
noted here, sends chills up my spine like no undead ever could...