You have to use the proxy_redirect
to handle the redirection.
Sets the text that should be changed in the “Location” and “Refresh” header fields of a
proxied server response. Suppose a proxied server returned the header field
“Location:https://myserver/uri/”. The directive
will rewrite this string to “Location: http://nginx_server:8080/uri/”.
Example:
proxy_redirect https://myserver/ http://nginx_server:8080/;
Source: http://nginx.org/en/docs/http/ngx_http_proxy_module.html#proxy_redirect