The nearest thing to an answer I can find comes from Tolkien's Letters. In Letter 131, he describes some of the results of Sauron's corruption of the Númenóreans:
A new religion, and worship of the Dark, with its temple under Sauron arises. The Faithful are persecuted and sacrificed. The Númenóreans carry their evil also to Middle-earth and there become cruel and wicked lords of necromancy, slaying and tormenting men; and the old legends are overlaid with dark tales of horror
While this isn't conclusive proof, it does suggest that at least some of the Nazgûl were from Númenor itself, among those who fell under Sauron's influence.
There's a more conclusive reference later on, in a footnote in the unsent Letter 156, when discussing the religion of the Númenóreans:
There were evil Númenóreans: Sauronians, but they do not come into this story, except remotely; as the wicked Kings who had become Nazgûl or Ringwraiths
The word "Sauronian" is used rarely by Tolkien, but appears to refer to the residents of Númenor who fell under Sauron's influence; they're referenced one other time in Letter 156 (emphasis mine):
So ended Númenor-Atlantis and all its glory. But in a kind of Noachian situation the small party of the Faithful in Númenor, who had refused to take pan in the rebellion (though many of them had been sacrificed in the Temple by the Sauronians) escaped in Nine Ships
I haven't yet been able to find a conclusive link between the Sauronians and the Black Númenóreans1, so whether this is a "yes" or a "no" answer depends on your opinion on that matter.
1 Although it's very likely that one exists. I have high expectations when it comes to Tolkien, and nothing I've found in Letters or in The Silmarillion is conclusive enough for me.