The nazgul when 'clothed' do not "fly" themselves in the recognised sense. When they are observed in the air they are seated upon winged creatures, reared by Sauron for this purpose.
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But the winged Nazgûl: not yet, not yet . He won't let them show themselves across the Great River yet, not too soon. They're for the War-and other purposes.
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Grishnákh speaking to Uglúk - The Two Towers III - The Uruk-Hai
[ February 26, 2002: Message edited by: Mat_Heathertoes ]