No I'm NOT saying there was one in the books by the Prof. However, a discussion was entered into on regional on the Landroval server during which I said ICE invented the names of 8 of the 9 (the Wringraith master being already named) and mentioned one was female.
Here are the bits I've gleaned from the leystone (internet):
The early Middle-earth Role Playing games (and material derived from them from Iron Crown Enterprises ICE) name the eight other (Nazgul) than Khamûl; Er-Murazor (the Witch-king, of Númenórean race), as :- Dwar of Waw, Ji Indûr Dawndeath, Akhôrahil (Númenórean), Hoarmûrath of Dír, Adûnaphel the Quiet (female Númenórean), Ren the Unclean and Ûvatha the Horseman, but none of these names come from Tolkien's writings. (Nor is there any indication that Tolkien ever imagined one of the Nazgûl as being female.)
Source: The Encyclopedia of Arda. "What were the names of the nine Nazgûl?