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Originally Posted by Legate of Amon Lanc
Well it is a possibility, but... I would expect at maximum them becoming spirits like Sauron, in fact harmless. There were these ideas about Elven spirits who refused to go to Mandos, so something like that. But nevertheless, they will no longer be in human bodies but only in the wraith-world, maybe from time to time scaring a woodcutter from Rhun during his night walk, but that's about all they could do.
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Well, I believe we have reached an agreement here. Because just now, in the Letters of JRRT I found this:
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The Witch-king had been reduced to impotence. Tolkien footnote below Letter 246
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This indicates that instead of 'passing on' the Nazgul remained in Middle earth as impotent spirits like their master Sauron. If they could not, over time, regain enough strength to take physical form again, then they would have the same situation as you mentioned. Then maybe they would return at the Dagor Dagorath along with their master?