The game Shadow of Mordor and its sequel revealed the origin of one but its not considered canon per the books.
Thank you for this mention. I looked this up and this is the source of the idea that Helm was a Nazgul.
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In
Middle-earth: Shadow of War, Helm is shown to have become a
Nazgûl. He received his ring from
Sauron and
Celebrimbor after he was mortally wounded in an ambush by Wulf's men, during which his daughter was kidnapped. After recovering, he led a group of men to Wulf, but accidentally fatally struck his daughter in rage. This further fueled his anger, and he proceeded to slaughter everyone in the room, including his own troops who tried to calm him down. He wields a great hammer unlike the Helm of the books, and the story appears to have been pushed up to the end of the
Second Age in order to fit in with the game's timeline. His hammer later ends up in the hands of
Talion after the latter joins the nine himself.