What does that mean, "made of shadow"? They can't be made of shadow -- shadow isn't a literal substance. Websters: "
shadow: 1 : partial darkness or obscurity within a part of space from which rays from a source of light are cut off by an interposed opaque body".
It seems more likely to me that all this "shadow" business isn't some mystery substance, but is instead typical of how Tolkien uses it elsewhere. For instance, the first real encounter with the Black Rider:
Quote:
The sound of hoofs stopped. As Frodo watched he saw something dark pass across the lighter space between two trees, and then halt. It looked like the black shade of a horse led by a smaller black shadow. The black shadow stood close to the point where they had left the path, and it swayed from side to side. Frodo thought he heard the sound of snuffling. The shadow bent to the ground, and then began to crawl towards him.
Once more the desire to slip on the Ring came over Frodo; but this time it was stronger than before. So strong that, almost before he realized what he was doing, his hand was groping in his pocket. But at that moment there came a sound like mingled song and laughter. Clear voices rose and fell in the starlit air. The black shadow straightened up and retreated. It climbed on to the shadowy horse and seemed to vanish across the lane into the darkness on the other side. Frodo breathed again.
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No one ever argues that the Nazgūl emit some mystery shadow substance. Tolkien uses this kind of construction repeatedly. It's the same usage at the Bridge.