In case someone stumbles upon this thread and wants X-Frame-Options DENY as defaults but still wants to embed comments, here is the solution direct from nginx (apparently ifs should be avoided where possible:
outside of the server clause:
map $arg_embed_url $xfo {
default DENY;
~^https%3A%2F%2Favril4th.com%2F.* "ALLOW-FROM https://avril4th.com/";
}
and then inside the location where you want to allow embeding:
add_header X-Frame-Options $xfo;