I'm willing to be corrected on this, but I think the answer is "we don't know". The swords could have been made in Mordor, Minas Morgul, Dol Guldur, ... They might even be artifacts from the Nazgul'sNazgûl's countries of origin.
The only information I can recall about their weapons is that the blade the Witch King-king uses to stab Frodo is referred to as a "Morgul knife"-knife" by Gandalf in Many Meetings"Many Meetings". So this was probably made in Minas Morgul, but it wasn't the Witch King's-king's sword, only a knife that he used with his other hand.