He knew that the Istari were Maiar, of course; whether he guessed it, if he knew of their existence (which I think is definite), before Saruman was ensnared by the Palantir I do not know. I think that this is also probable, but certainly after he had seen Curunir through the Seeing-stone he would know instantly.
They were, after all, both servants of Aule in primeval times. But an Ainu could probably recognise the like.
Did the Witch-King know Gandalf's identity? Perhaps Sauron revealed this to him, entrusting him the knowledge. The WK certainly knew who Gandalf was. The Mouth of Sauron had obviously been told about Gandalf as well; Sauron's commanders of a surety knew who he was.
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