"Certainly Saruman knew where the Shire was and eventually told the Nazgul, though he had tried to conceal his information for his own ends." (-Rumil)
cf. UT 3.IV.i.
Saruman was too powerful to be interrogated by the Nazgûl, but they caught Gríma and learned the location of the Shire and Saruman's interest therein from him.
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