They didn't officially, but the company that made the "mithril" models named each one, including the witch king and khamul as names. The names are pretty sweet and almost accurate too.
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"I come from yonder...Have you seen Baggins? Baggins has left, he is coming. He is not far away. I wish to find him. If he passes will you tell me? I will come back with gold." - Khamul the Easterling
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