I found the problem.
In the proxy nginx i had this thing:
proxy_redirect http://discourse.mysite.com:8820/ https://discourse.mysite.com;
Seems that something is missing? No? It is, the final slash is not there!
I added and everything looks just fine! Yay.
proxy_redirect http://discourse.mysite.com:8820/ https://discourse.mysite.com/;