I have done this myself personally, but only for the Knight of Umbar miniature so I'm not sure how well this would work for other named Nazgul. But it's a simple conversion of the plastic Fell Beast kit, using the hooded Ringwraiths body and simple decapitating your chosen named Nazgul and reshaping the back of their head so it slots neatly into the hollow plastic hood. Alternatively, depending on your sculpting skills you could sculpt the character head yourself which would save money and probably time too. With characters like the Undying, Shadow Lord and the Tainted the difference wouldn't even require sculpting, simply replicate their paint-job on the plastic unnamed Ringwraith.
Hope that helps. It's a fun task, I know from experience. Really regret selling the miniature now I think about it.