I think it is safe to assume that Sauron can communicate somehow or another with the Nazgul when they are not around. The fact that the Nazgul felt that Frodo had claimed the Ring for himself at Mount Doom the instant that Sauron did would seem to legitimate the notion of some telephatic abilities between them, coupled with the fact that Sauron could, in the First Age at least, communicate through thought without spoken word.
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...where the instrument of intelligence is added to brute power and evil will, mankind is powerless in its own defence.
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