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I am curious as to why Sauron went to the trouble of raising a large army to conquer Middle-earth when he could have used the Nazgûl to kill all his enemies in Middle-earth such as all the armies of men, elves, and dwarves.

Nobody could kill them and this included the Istari and Galadriel. All they could do is use their magic to drive them away for a short time. Plus, the Nazgûl had the advantage of not needing to stop and eat and sleep like the Istari had to, so they could have been out killing soldiers during the nighttime hours of each day while the Istari were sleeping.

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Why did Sauron need a large army when he could have used the Nazgûl to kill all his enemies in Middle-earth?

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    It wasn't the purpose of the Nazgûl. It's like saying "why doesn't the army just send their best snipers to kill everyone?". Sure, they've got the skill/ability to slowly pick everyone off, but that's not their purpose. In the case of the Nazgûl, their purpose was to find the Ring, that is all.
    – Möoz
    Dec 1, 2021 at 23:29
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    Merry stabbed him in the leg. I doubt you’ll find many people who agree with you that all the Nazgul were unkillable. It’s only the witch king of Angmar who supposedly cannot be killed by any man. And we know they can be unhorsed and deprived of corporeal bodies. They are neither invincible nor omnipotent.
    – Todd Wilcox
    Dec 2, 2021 at 0:14
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    @Möoz The Nazgûl were created long before there was any need to find the Ring. They were useful for finding the Ring; it was not their purpose.
    – chepner
    Dec 2, 2021 at 0:48
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    @ToddWilcox Yes, and, Glorfindel's prophecy is "not by the hand of man will he fall." There's nothing about can or can't. It just won't happen to work out that way.
    – Lesser son
    Dec 2, 2021 at 1:07
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    Aragorn, practically on his own, was able to get the Nazgul to tactically withdraw at Weathertop.
    – David Roberts
    Dec 2, 2021 at 2:31

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Why do you think they could have killed all Sauron's opponents?

From Letter 210, in a section complaining about the Zimmerman script, rejecting precisely the idea the Nazgûl were physically dangerous:

Aragorn and the Hobbits left Bree at night in Z's script. This was the opposite of what "book-Aragorn" would do, and Z showed he completely misunderstood the greatest weapon of the Riders: fear. They hold no power over the fearless.

Unless they frightened people to death they couldn't deal out mass carnage. The Black Breath is bad, yes, but they can't breathe on all of us.

Without followup attacks by others, just having scared people won't leave all of them dead.

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