> It's working really well, but the issue is, references to their domain aren't being filtered inside their CSS or JS files which are also loading via the proxy URL.

Typically it means that the response from the upstream comes compressed (gzipped) and sub_filter module doesn't handle that.


Try instead of:
> proxy_set_header Accept-Encoding "*";

setting it to empty:
proxy_set_header Accept-Encoding "";


rr

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