There does not seem to be a way to enable FIPS mode on the application level. Currently we solve this by compiling nginx ourselves after adding FIPS_mode_set(1) after the SSL library initialization code in systems where we require it. It would be nice to have native optional support for this.
For reference, apache's mod_ssl has this support: http://httpd.apache.org/docs/2.2/mod/mod_ssl.html#sslfips, so a similiar setting would probably be useful for others as well.