When you say " but ALSO set up another proxy_pass from this location block to say bar.mydomain.com"

Do you mean the request should go to both? i.e foo.mydomian and bar.mydomain. If thats the case than upstream will not work because it will actually load balance the requests between 2 servers.

Infact I am also looking for a solution wherein I need proxy_pass to send request to the destined server but ALSO send it to another server also (in async manner).

I tried using echo module with echo_subrequest_async but it did not worked. So I am not sure whats the best way to do that in Nginx

check this http://forum.nginx.org/read.php?2,257211,257211