error_page handles errors that are generated by nginx. By default, nginx will return whatever the proxy server returns regardless of http status code.
What you’re looking for is proxy_intercept_errors
This directive decides if nginx will intercept responses with HTTP
status codes of 400 and higher.By default all responses will be sent as-is from the proxied server.
If you set this to on then nginx will intercept status codes that are
explicitly handled by an error_page directive. Responses with status
codes that do not match an error_page directive will be sent as-is
from the proxied server.