NGINX auth_request and 302 response status = 500 invalid URL prefix

Question

I'm trying to make NGINX authenticate requests with OAuth2 server (authorization code flow) that will redirect client to the login page. Is it possible to use auth_request directive for that? Here is my nginx.conf:

server {
    listen ${NGINX_PORT};

    proxy_send_timeout    600;
    proxy_connect_timeout    600;
    proxy_read_timeout    600;
    send_timeout        600;
    client_max_body_size 100m;
    absolute_redirect off;

    access_log /var/log/nginx/access.log;
    error_log /var/log/nginx/error.log warn;

    location / {
        auth_request /authn;
        gzip_static on;
        index   index.html;
        root /usr/share/nginx/html;
        try_files $uri $uri/ @index;
    }

    location @index {
        root /usr/share/nginx/html;
        add_header Cache-Control 'no-store, no-cache, must-revalidate, proxy-revalidate, max-age=0';
        expires 0;
        try_files /index.html =404;
    }

    location /api {
        set $target http://gateway:8030/api;
        proxy_pass http://gateway:8030/api;
    }
    location /authn {
        set $target http://gateway:8030/authn;
        proxy_pass http://gateway:8030/authn;
        proxy_pass_request_body off;
        proxy_set_header Content-Length "";
        proxy_set_header X-Original-URI $request_uri;
        proxy_pass_request_headers on;
        proxy_intercept_errors on;
        recursive_error_pages on;

        error_page 301 302 303 307 308 @handle_redirect;
    }

    location @handle_redirect {
        set $redirect_url $upstream_http_location;
        proxy_pass $redirect_url;
        }
}

But my oauth gateway returns redirects without schema://host:port, and I get

invalid URL prefix in "/oauth2/authorization/gateway" while sending to client

Why doesn't NGINX understand that it must preserve host and port information in redirects and how can I fix that?