In the Lord of the Rings, book IV (in The Two Towers), Frodo and Sam encounter a storm coming from the east towards the Emyn Muil. Suddenly, they hear the screech of a – what is presumed to be – a flying Nazgul, seemingly riding on the storm. (Actually, in this case, no mention is made about the modality of travel for this particular Nazgul, although I would guess that if one was given wings, then they all would.)

The hurrying darkness, now gathering great speed, rushed up from the East and swallowed the sky. There was a dry splitting crack of thunder right overhead. Searing lightning smote down into the hills. Then came a blast of savage wind, and with it, mingling with its roar, there came a high shrill shriek. The hobbits had heard just such a cry far away in the Marish as they fled from Hobbiton, and even there in the woods of the Shire it had frozen their blood. Out here in the waste its terror was far greater: it pierced them with cold blades of horror and despair, stopping heart and breath. Sam fell flat on his face. Involuntarily Frodo loosed his hold and put his hands over his head and ears. He swayed, slipped, and slithered downwards with a wailing cry.

Was this storm a 'depiction' of the 'will power storm' of Sauron and his very thoughts being focused upon the area of the Emyn Muil?

Additionally, is it known or mentioned in any of Tolkien's writings, what errand that this particular Nazgul was undertaking? Maybe it is just mentioned to keep the mood/atmosphere going and to remind the readers of the dangers that are so very close at hand to Frodo and Sam?

"Was this storm a 'depiction' of the 'will power storm' of Sauron and his very thoughts being focused upon the area of the Emyn Muil?" The text does not say, but it's certainly important in setting the scene and making clear both how vulnerable Frodo and Sam are this close to Mordor and reinforcing how terrifying the Nazgul are.

Regarding the errand, this is about when the Rohirrim destroy the orcs carrying off Pippin and Meriadoc, but it seems unlikely that the Nazgul were paying attention to that. But at about this time Grishnákh, the orc leader from Mordor who is with the party leaves the party and then returns. He clearly has worked for the Nazgul:

'Nazgûl, Nazgûl,' said Grishnákh, shivering and licking his lips, as if the word had a foul taste that he savoured painfully. 'You speak of what is deep beyond the reach of your muddy dreams, Uglúk,' he said. 'Nazgûl! Ah! All that they make out! One day you'll wish that you had not said that. Ape!' he snarled fiercely. 'You ought to know that they're the apple of the Great Eye. But the winged Nazgûl: not yet, not yet. He won't let them show themselves across the Great River yet, not too soon. They're for the War-and other purposes.'

and might, possibly, maybe had reported to one while he was gone. I think this unlikely since he was probably too far from the river to get there, cross it, report, cross it again and get back. Also, Sauron apparently only first learns of the hobbits when Pippin looks into the Palantir of Orthanc.

Bottom line: I don't see any indication in the text of what the errand might have been.

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    I also failed to find anything conclusive, but to add to what you have here, a few pages before your quote you will find this: 'I came across [the Anduin],' said the evil voice [Grishnakh]. 'A winged Nazgul awaits us northward on the east-bank.' Therefore one of the Nazgul definitely was involved with Grishnakh's mission, but whether this was the same Nazgul that Frodo and Sam heard is not known. – Ian Thompson Jun 6 at 21:40
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    @Ian Thompson: Very good point! The direction of travel fits pretty well, also. – Mark Olson Jun 6 at 21:42

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