@HiddenVale @Mitth'raw'nuruodo3 From my understanding, The Nazgul are enslaved by the Ring but have some freedom to make their own choices so long as they don't disobey Sauron. Reading the Readers Companion and Hunt for the Ring give away a lot of character that the books leave out. They display a lot of emotion in Hammond's and Scull's Reader's Companion in particular. (I LOVE THE READER'S CAMPANION!! READ THE NAZGUL PARTS OF IT! IT'S A MUST READ FOR NAZGUL FANS!)
But even in the books we see them have dialog like Khamul with Farmer Maggot.
This is a really good passage from one of Tolkien's writings saved at the Marquette archives and published in the Readers Companion:
The Nazgul are clearly shown plotting and planning. Khamul is even capable of making mistakes.
Witch King is uncertain about what to do and has to debate his choices.
There's also a lot of words related to emotions such as: desiring, elated, alarmed, angry, uncertain. They couldn't stop searching for the Ring but they have their own minds that can reason about the best way to do it.
TLDR; The Nazgul don't have a choice when it comes to following Sauron's will but they have a choice on how they actually carry will out.
I agree with keeping the Witch King bad. I think that he should be complex but I don't need Witch King tragic backstory.
There is some textual evidence that not all of the Nazgul had evil intentions at first:
"And one by one, sooner or later, according to their native strength and to the good or evil of their wills in the beginning, they fell under the thralldom of the ring that they bore and under the domination of the One,"
'to the good or evil of their wills' is key here. So having a wraith or two with some tragedy to their story wouldn't be canon breaking.
The Witch King having a very tragic backstory isn't a choice I'm making in my stories about the Nazgul. (Some bad things happen to him but it's not why he became evil)