I think the Encyclopedia of Arda is quite wrong when they say that, for instance, there is little harm in thinking that the name Murezor was the Witch-king's name. Maybe if Tolkien simply forgot to mention his real name, but all signs indicate that it is with intention that Tolkien never tells us his, or the other Nazgul (minus Khamul, and even that is outside the primary canon). It would be similar to trying to create an original name for the Mouth of Sauron, whose name is explicitly forgotten for the reason that he had no longer any individual identity in his service to Sauron.
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"He was sent by a mere prudent plan of the angelic Valar or governors; but Authority had taken up this plan and enlarged it, at the moment of its failure."
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