I got the answer from Github:
https://github.com/phusion/baseimage-docker/issues/344#issuecomment-254717556
Here is the Dockerfile @notpeter gave to me:
########################################################
# Nginx + naxsi docker baseimage (ubuntu xenial 16.06) #
########################################################
FROM phusion/baseimage:0.9.19
MAINTAINER Peter Tripp "peter.tripp@gmail.com"
ENV NGINX_VERSION 1.10.2
ENV NAXSI_VERSION 0.55.1
CMD ["/sbin/my_init"]
RUN apt-get update && \
apt-get install -y tar git vim nano wget net-tools build-essential \
libpcre3-dev libxslt1-dev libgd2-xpm-dev libgeoip-dev libssl-dev
RUN cd /tmp/ && \
wget https://github.com/nbs-system/naxsi/archive/$NAXSI_VERSION.tar.gz && \
wget https://nginx.org/download/nginx-$NGINX_VERSION.tar.gz && \
tar xf $NAXSI_VERSION.tar.gz && \
tar xf nginx-$NGINX_VERSION.tar.gz && \
cd nginx-$NGINX_VERSION && \
./configure --conf-path=/etc/nginx/nginx.conf \
--add-module=../naxsi-$NAXSI_VERSION/naxsi_src \
--error-log-path=/var/log/nginx/error.log \
--http-client-body-temp-path=/var/lib/nginx/body \
--http-fastcgi-temp-path=/var/lib/nginx/fastcgi \
--http-log-path=/var/log/nginx/access.log \
--http-proxy-temp-path=/var/lib/nginx/proxy \
--lock-path=/var/lock/nginx.lock \
--pid-path=/var/run/nginx.pid \
--with-http_ssl_module \
--without-mail_pop3_module \
--without-mail_smtp_module \
--without-mail_imap_module \
--without-http_uwsgi_module \
--without-http_scgi_module \
--with-ipv6 \
--prefix=/usr && \
make && \
make install && \
mkdir -p /var/lib/nginx/{body,proxy}
RUN echo "daemon off;" >> /etc/nginx/nginx.conf && \
mkdir -p /etc/service/nginx && \
echo "#!/usr/bin/env bash\n\nnginx" > /etc/service/nginx/run && \
chmod +x /etc/service/nginx/run
# Cleanup.
RUN apt-get clean && rm -rf /var/lib/apt/lists/* /tmp/* /var/tmp/*