I swear I had built the hg default version on my AMD64 just fine, but now I'm doing it on my ARM device running Ubuntu 15.04 with kernel 4.2.
I used the default system openssl, but also tried with the master git version all with the same result.

Attempts with:
1) ./auto/configure --with-http_ssl_module --with-ipv6
2) ./auto/configure --with-http_ssl_module --with-ipv6 --with-cc-opt="-I /usr/local/ssl/include -I /usr/local/include" --with-ld-opt="-L /usr/local/ssl/lib -L /usr/local/lib"
3) ./auto/configure --with-ipv6 --with-http_ssl_module --with-openssl=/src/openssl/
and of course "make".
*****
src/event/ngx_event_openssl.c: In function ‘ngx_ssl_handshake’:
src/event/ngx_event_openssl.c:1164:31: error: dereferencing pointer to incomplete type
if (c->ssl->connection->s3) {
^
src/event/ngx_event_openssl.c:1165:31: error: dereferencing pointer to incomplete type
c->ssl->connection->s3->flags |= SSL3_FLAGS_NO_RENEGOTIATE_CIPHERS;
^
*****

"./auto/configure --with-ipv6" built with no problems.