我就是这样解决的。我先添加了proxy_pass和proxy_redirect off,然后再添加其他参数。

location @proxy_to_app {
          proxy_pass http://app_server;
          proxy_redirect off;
          proxy_set_header X-Forwarded-For $proxy_add_x_forwarded_for;
          proxy_set_header X-Forwarded-Proto $scheme;
          proxy_set_header Host $http_host;
        }