So, I've found out more about my situation. Apparently, limit_conn_zone stuff I'm doing on Nginx applies to HAProxy only which is in front of my Nginx.
I guess I have two options:
1. Use HAProxy (instead of Nginx) for request/connection limiting.
2. Limit requests/connections on Nginx based on X-Forwarded-For instead of the IP of HAProxy (which is going to always 127.0.0.1).
Which do you guys think would work better? Thanks!