It is generally assumed that the Nazgul were all male, and particularly that the Witch-King is. This is reasonable, given the word "king" and all. But on the other hand:

Three Rings for the Elven-kings under the sky...

So far as I'm aware, Galadriel is the only holder of Nenya since its creation, so it's clear that people in Middle-earth were prone to misusing the word 'king'.

Could the Witch-King have been a Witch-Queen, referred to as 'he' only because nobody in the Third Age knew her actual identity? She was not just the ruler of Angmar, but of some other realm before her transformation - as another theory outlines, the crown Frodo saw on her head must have been hers during her mortal life. And, per the same page, we know she was a Numenorean...

Tar-Telperien was the second Ruling Queen of Númenor. She lived for 411 years, 11 longer than her father, 12 longer than her nephew who succeeded her. She failed (or refused?) to intervene to save Eregion when Sauron attacked it in S.A. 1697, and was the first ruler of Numenor to cling to the scepter until death, rather than relinquishing it early. She died (or 'died') 34 years after Sauron started handing out Rings.

If a messenger from Sauron had come to Tar-Telperien, offering her more power and enduring life in exchange for her neutrality in his wars, would she have accepted? She was certainly someone who wanted all the power she could get (she refused to marry, which may well have been because her husband would try to wield the power of the scepter in her stead); I think she would absolutely have taken the promise of a Ring in exchange for not doing something she didn't want to anyway. And when it arrived, she would have put it on...

Yet her hold on Numenor was already weakening: Tolkien specifically notes that the fleet which sailed to defend Lindon in S.A. 1700 was sent out under the authority of her nephew and heir Minastir, not the Queen herself. If the nephew who had defied his aunt to fight Sauron discovered that she had fallen under the spell of the same Dark Lord, he would have done anything he could to oust her. The outcome would be exactly what we see in the texts: Tar-Telperien surrenders the Sceptre (or it is taken from her), but does not remain a part of the court like all her predecessors: she immediately vanishes, "dead"... or fled to Middle-earth and her dark master, the first of the Nazgul to gather to his side, his Witch-Queen and most faithful servant.