I seem to recall reading (alibiet in a not so reilable source) that, under their armor, the Nazgul wore "the robes of the dead". This bring up another possilbility, that, while the Nazgul can not die in reality, they can achieve a senescent state that resembles being dead to anyone who does not know better. We know for a fact that, especially during those periods when Sauron was "dead" (not incarnate) the Nazgul often seemed to fade from sight and notice. Maybe thier power waxes and wanes as Sauron's does; when Sauron is low in strenght so are they and thier rings. At the lowest ebb it can easily imagine the Nazgul could have so little energy they could be all but comatose, able to do little or nothing save sit and await thier masters call. The Nazgul never die as long as thier rings are intact, but how "alive" they are is debatable, in the sense of bodily functions (i.e. do they still eat, or sleep, or things like that) Deprived of movement, they might easily appear "dead" to those around them, and be entombed, to wake later as Sauron rises again (the Nazgul are, for all intents and purposes, undead liches, apart from the simple fact of never actually dying) Most are said to be powerful sorcerors in and of thier own right, so breaking out of a tomb shoud cause them no trouble (if indeed they even have to, given the time periods that pass when Sauron is "dead" many could easily wake to find themselves in Tombs and Barrows so decayed and worn by age that they are functionally not there (and if they are already invisible, most people would not see them leaving anyway.
To finish two questions of my own
1. Given the extremely long time periods involved, would a Nazgul actually have to leave his kingdom per se It seems to me that, given the ridiculosly long periods Sauron can say dormant, if there is any truth in my above guess, most Nazgul could easily awake and find thier respective Kingdoms simply GONE, wiped away by time. Angmar was actually actively destroyed, but the Witch King was ALREADY a wraith by the time he founded it, so it doesn't really count.
2. Since Sauron did not give out all of the Mortal rings at once (and indeed appears to have done so over a fairly long period) where some of the Nazgul already "wraithified" at a time when some of the later ones were not (or indeed had not yet even recieved rings. In other words were the later Nazgul in the dark about the "side effects" of the rings until it was too late, or were they fully aware of what the rings would eventually do to them, and took them anyway (Gandalfs quote seems to indicate that not ALL of the Nazgul were wholly wicked individuals at the time they took the rings. That actually brings up a rather creepy thought, if the rings were tools of enslavement, rather than posession (i.e. if deep inside each Nazgul, there was still a human fea witnessing all that thier changed form did, but no longer able to do anything to change them, does that mean that when they died, there were still mannish souls that passed on to wherever Eru judges. In other words, assuming that, In a Christian mold, the souls of dead men will at some point either pass into an afterlife and or be raised post Daor Dagorath, is there a chance some of the Nazgul will be raised as well? ).
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