I have the same problem.

Have you been able to find a solution to this? I believe it might need to be fixed on the vpn side.

The setup works OK if the vpn server and nginx server are on different machines, but if they are on the same machine, it doesn't work for me.

A more detailed description of the problem is here: http://serverfault.com/questions/527256/restricting-nginx-website-connection-to-vpn-users-on-the-same-server

Ustun