The nine Nazgul were all Men, or had been before Sauron twisted them into something other than human.
The only quotes I can bring to mind about their origins are that "they were great Kings and sorcerers" before Sauron gave them Rings and that at least some of them were "Black Numenorians". Black doesn't refer to skin colour but to the fact that they had rebelled against their King, turned to Darkness and alied themselves to Sauron.
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