I guess it isn't 100% sure, but a female Nazgul is unlikely as there's no mention of any as far as I know. It is said in the Sil that those that used the nine rings of mortal men became in their day "kings sorcerors and warriors of old". No mention of Queens. That's all I can think of. Perhaps a more advanced Tolkien scholar can think of something more conclusive.
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"Come away, O human child!/ To the waters and the wild/With a faery hand in hand,/ For the world's more full of weeping than you can understand."
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