wwwn it seems like all the tag page does is take /t/<tag slug> and return the discussions for the search tag:<tag slug>. Therefore a non-existing tag will simply return an empty list.
I however noticed there's an issue in there. If you search for a non-existent tag, you get a 500 error, PDOException: Invalid parameter number. I'll need to check whether it's already reported
EDIT: and this has nothing to do with nginx, the /t/<slug> route always returns the front-end app whatever slug it receives. It could be changed so it answers with 404 like users or discussions.