Nazgûl enemies are immune to player card effects and cannot be optionally engaged.

Forced: The first time a Nazgûl enemy is revealed each round, the first player must trigger its shadow effect.

“My news is evil.” Then he looked about him, as if the hedges might have ears. “Nazgûl,” he whispered. “The Nine are abroad again.”
—Radagast, The Fellowship of the Ring