Use strace. First, you need to detect PID of nginx process:
# ps ax | grep nginx
25043 ? Ss 0:00 nginx: master process /usr/sbin/nginx -c /etc/nginx/nginx.conf
25044 ? S 0:02 nginx: worker process
Ok, so 25044 is the worker process. Now, we trace it:
# strace -p 25044 2>&1 | grep gz
open("/var/www/css/ymax.css.gz", O_RDONLY|O_NONBLOCK) = 438
open("/var/www/css/patches/patch_my_layout.css.gz", O_RDONLY|O_NONBLOCK) = -1 ENOENT (No such file or directory)
open("/var/www/yaml/core/iehacks.css.gz", O_RDONLY|O_NONBLOCK) = -1 ENOENT (No such file or directory)
open("/var/www/js/koznazna5.js.gz", O_RDONLY|O_NONBLOCK) = -1 ENOENT (No such file or directory)
open("/var/www/css/ymax.css.gz", O_RDONLY|O_NONBLOCK) = 216
As you can see, it is trying to find .gz versions of files.