Actually we do have a direct interpretation of the name Nurufantur in The Etymologies (in volume V of The History of Middle-earth), where it is translated as 'lord of Death-cloud' (from nuru 'death' and fantur 'cloud-lord'). However, this early interpretation does not seem to have been retained. Building on later usage, we might take fantur as related to Fëanturi, 'Masters of Spirits'. On this reading, Nurufantur would mean something like 'spirit-master of death', while his brother Olofantur would be 'spirit-master of dreams'.
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