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The Ringwraiths did not have bodies. Per Gandalf, their cloaks are real and gave "shape to their nothingness." When the flood of the Bruinen washed them away and several lost their cloaks, Gandalf mentions that they would have to make their way back to Mordor empty and shapeless.
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Beleriand, Beleriand,
the borders of the Elven-land.
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