Nazgûl Purgatory

[Inziladun]

Forgive me if this has been discussed here previously. I couldn't find anything recent, but nearly everything has been brought up on this forum at some time or other.
Not too long ago, while looking for a suitable P of F quote I stumbled upon this:

'No, I don't know,' said Gorbag's voice. 'The messages go through quicker than anything could fly, as a rule. But I don't enquire how it's done. Safer not to. Grr! Those Nazgûl give me the creeps. And they skin the body off you as soon as look at you, and leave you all cold in the dark on the other side.'

(emphasis added) TT The Choices of Master Samwise

The other side? Of what? Somehow Gorbag doesn't seem to be speaking of death there. I'm reminded of the well known quote from the Witch-king:

'Come not between the Nazgûl and his prey! Or he will not slay thee in thy turn. He will bear thee away to the houses of lamentation, beyond all darkness, where thy flesh shall be devoured, and thy shrivelled mind be left naked to the Lidless Eye.'

ROTK The Battle of the Pelennor Fields

Gorbag and the Black Captain appear to be referring to the same thing.
The question is, what is this they reference? A place of physical and spirtual torture? 'Skin the body off you' certainly seems to indicate physical death, but the Lord of the Nazgûl states his threat is not to kill. Consciousness apparently survives in both cases.
Thoughts?