Thank you all for your replies. It's indeed an honor to receive help from the very creator of nginx! Not meaning to bug any of you any more... but this last configuration,

location / {
root /var/www/mysite;
index index.html;
}

location ~ ^(/.+/)index.html$ {
internal;
error_page 404 http://$host$1?;
}

, redirects to the root of my site: site.com/ instead of site.com/dir/. To be precise, to site.com/? . (What's the point of that "?"?)

Thank you again,

Ezequiel