After the destroying of the Ring, Sauron became too weak to take a visible form. I'm not sure if the Nazgūl really died or if their rings had granted them a kind of immortality, an eternal life as a spirit bound to Middle-earth, but if Sauron was depraved of his powers, I very highly doubt that any of the Nazgūls were able to return. After all, their power was nothing but Sauron's power.
However, there's one thing in the Quenta Noldorinwa that popped into my mind:
Quote:
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When the world is old and the powers grow weary, then Morgoth shall come back through the Door out of the Timeless Night ...
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I admit I don't remember every fact I'd need now (gosh, I don't even remember if that survived to the newer versions of the mythology...
Time someone read the Silm again), and I know it's somewhat different as Morgoth wasn't practically ripped off his powers but only thrust out the Door of Night. Going with that idea, though, I
could see a scenario with Morgoth's servants joining him for the Last Battle, including Sauron & the Nazgūls.