RFC 3875 specifies a Local Redirect Response, which, in short says:
If the script sends a "Location:" header with a local path (i.e. starting with /, not with a protocol) and a Status Code 200 header, then the web server should interpret and fulfil this request as if the client had requested the file specified by the "Location:" header.
This works in Apache with the (now deprecated/hard to find mod_fastcgi) and in lighttpd, but not in Apache mod_fcgid.
I couldn't find any information about that for nginx.