You should look at HttpLuaModule: http://wiki.nginx.org/HttpLuaModule#ngx.location.capture_multi

Example:
-- construct the requests table
local reqs = {}
table.insert(reqs, { "/mysql" })
table.insert(reqs, { "/postgres" })
table.insert(reqs, { "/redis" })
table.insert(reqs, { "/memcached" })

-- issue all the requests at once and wait until they all return
local resps = { ngx.location.capture_multi(reqs) }

-- loop over the responses table
for i, resp in ipairs(resps) do
-- process the response table "resp"
end