It seems likely that they were in communication across long distances, yes. Sauron started taking shape as the Necromancer sometime around 1000 TA. It's pretty clear he spent most of the next thousand years directing a long campaign against Arnor and Gondor, across distances of thousands of miles.

We know at least one of the Nazgul was in charge in Angmar, hundreds of miles from Dol Guldur. Meanwhile, Sauron must have had agents or intermediaries to encourage the various Easterling peoples, and the Haradrim and people of Umbar, to attack Gondor. Some of those were probably Black Numenoreans like the Mouth, but other Nazgul probably took part too.

After the fall of Angmar, of course, the Nazgul concentrated in Minas Morgul for the next thousand years. They still kept coordinating with Sauron in Dol Guldur, and the attacks on Gondor continued.

Whether Sauron could communicate with them by some kind of long-distance telepathy or not, I can't tell from the text. Possibly. They could also have exchanged messengers, or some of the Nazgul could have simply traveled to Dol Guldur on a regular basis.