The Nazgul will be added in time as major characters, and will most likely be part of the Mordor faction as they are too small a group to have their own alignment bar (though the idea of major characters having their own bar is certainly interesting).

Sauron is not a Nazgul so there are nine Nazgul and then Sauron. Also the Nazgul were leaders of the armies of mordor and Dolguldur so it wouldn't make sense if they were in there own factions

And in lore you need have one of the nine ring to become a Nazgul,

Besides, I pretty sure they already said that race change will never come to the mod