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Let's not engage in the attempted retconning of a mid-20th century book by a very conservative old Edwardian. Tolkien's writing was androcentric, unless there was an especially good reason to make a character a female. To his mind, male was the default gender, and there's no sense trying to make him think like a 21st-century person, because he wasn't. Slashfic notwithstanding, he didn't include any gay characters either.
It's not likely at all that Tolkien was privately thinking "I'll make two of the Nazgul women but not say anything about it."
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The entire plot of The Lord of the Rings could be said to turn on what Sauron didnt know, and when he didnt know it.
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