Are there any published RPG adventures set in Utumno or Angband, the the dungeon fortresses of Morgoth as described in J.R.R. Tolkien's works? Anything that's published is fine - say with the MERP, Decipher LOTR, or One Ring systems, or else a resource book not affiliated with a particular RPG.
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I believe the short answer is no. The most recent Tolkien games produced by Decipher and Cubical 7 focused on the later 3rd Age - the time of Bilbo and Frodo. ICE Middle Earth Role Playing was a bit earlier for their default campaign in the third age, but some of their adventures / campaign settings books had information in other eras too (sometimes 2nd age, like the Eregion book, sometimes 4th age).