I went back and reread some stuff, and it turns out there's only one Nazgûl to whose origin is alluded, and that's in The Hunt for the Ring in Unfinished Tales. Khamûl, the second in command, is known as the "Black Easterling." This might only be a reference to his habitation as a Nazgûl, but I prefer the other interpretation, because it gives our first glimpse of who the nine originally were.
The Director's Cut version of the FOTR will be released on DVD this November:
A box containing 4 DVD's, 2 of them are the same of the double DVD, but you get also a DVD with the director's cut (Peter Jackson didn't decide yet between a 3h 30' version and a 4h(!) version) and another DVD with other extra stuff.
From www.caltanet.it