Nazgûl Purgatory

[Gordis]

Most interesting topic.

As to the meaning of the WK' words to Eowyn, I guess "thy flesh shall be devoured" might be simply an euphemism for fading, becoming invisible.

See what Eowyn replied to the WK in the LOTR draft, HOME 8:

'Come not between the Nazgul and his prey,' said a cold voice, 'or he will bear thee away to the houses of lamentation, beyond all darkness where thy flesh shall be devoured and thy shrivelled mind be left naked.'
She stood still and did not blench. 'I do not fear thee, Shadow,' she said. 'Nor him that devoured thee. Go back to him and report that his shadows and dwimor-lakes are powerless even to frighten women.' Home 8, "The battle of the Pelennor fields"

And note another occurrence of "devoured" re: nazgul themselves here:

Faramir: It is said that their lords were men of Númenor who had fallen into dark wickedness; to them the Enemy had given rings of power, and he had devoured them: living ghosts they were become, terrible and evil. - LOTR

So, it could well be that the Witch-King simply treatens Eowyn with using the Morgul knife or some similar spell making the body invisible in this World and relocated entirely into the Shadow-World, and the unhappy fea entrapped in it for all eternity, cold and naked, slave to Sauron forever.

Could it be much the same with orcs?
"Skin the body off you" doesn't sound like violent death and skinning. The orcs wouldn't be so impressed by simple physical violence, torture and the ugliest methods of death. They were experts at it themselves. And the Orcs were indeed impresed beyond words by what the nazgul could do:

'Nazgûl, Nazgûl,' said Grishnákh, shivering and licking his lips, as if the word had a foul taste that he savoured painfully. 'You speak of what is deep beyond the reach of your muddy dreams, Uglúk,' he said. 'Nazgûl! Ah! All that they make out! One day you'll wish that you had not said that.