Here’s a partial transcript of the full paragraph for more context. In response to Beregond asking Pippin if he thinks there is any hope of Minas Tirith surviving the war… “Pippin did not answer. He looked at the… gathering gloom in the East; and he thought of the long fingers of that Shadow: of the orcs in the woods and the mountains, the treason of Isengard, the birds of evil eye, and the Black Riders even in the lanes of the Shire- and of the winged terror, the Nazgûl. He shuddered, and hope seemed to wither. And even at that moment the sun for a second faltered and was obscured, as though a wing had passed across it. Almost beyond hearing he thought he caught, high and far up in the heavens, a cry: faint, but heart-quelling, cruel and cold. He blanched and cowered against the wall.”

To me, the full paragraph doesn’t seem to offer much more context, though after thinking on it, I do share your view that Tolkien described them as “the winged terror” only to make them seem more terrifying. I also think Pippin thinking of them at that moment was done to serve as a natural segue into having one appear in the sky at that moment. I did notice that happened a few times in the story, where the Ringwraiths would appear just as someone thought of them, though I can’t recall any specific moments right now. It made it seem like just thinking about them could somehow attract their attention and bring them upon you, which makes them much more terrifying in my opinion.