I can see two things happening to it:
1) The ring disappears into the wind, as you said.
2) It stayed in the Witch-King's pile of empty clothes, until the One was destroyed and it too was destroyed, being tied to the fate of Sauron and the One Ring.
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I go to my fathers. And even in their mighty company I shall not now be ashamed. I felled the black serpent. A grim morn, and a glad day, and a golden sunset!
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