In LOTR with Sauron, what's the timing of Nazgul cards?
Yes, the players can interrupt the nazgul card and avoid its main effects.

First you must resolve the symbol in the upper left of the Nazgul card.  After that, because the main text of the Nazgul card treated as if an event tile were revealed, it can be interrupted by anything that can interrupt event tiles, such as putting on the Ring, Gandalf, etc.  

If this ends the scenario, then the main text of the Nazgul card never occurs.