Actually Gorthol, only the spirits of the Elves go to Mandos. All of the Ringwraiths had been Men, so they would have left the Circles of the World, and would have gone to whatever place Men go to when they die.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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