If I were to say something for myself, I never thought about it that way. Most probably because the Z in "Nazgul" is certainly pronounced Z (as in "Zoom"), while in "Nazi" it is generally pronounced as C (as in... erm... oh, you English barbarians, why don't you ever pronounce "C" correctly! As in "Caesar" if it is pronounced with correct Latin spelling).
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"Should the story say 'he ate bread,' the dramatic producer can only show 'a piece of bread' according to his taste or fancy, but the hearer of the story will think of bread in general and picture it in some form of his own." -On Fairy-Stories
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