Talk about bringing an old post to life! I had the same issue and fixed it with this in nginx:

proxy_redirect http:/my.site.com/ https://my.site.com/;

Once i did that the 302s worked with https links. My config looks like this

location / {
proxy_pass http://127.0.0.1:2202/;
proxy_set_header Host $http_host;
proxy_set_header X-Forwarded-Server $host;
proxy_set_header X-Real-IP $remote_addr;
proxy_set_header X-Forwarded-Proto "https";
proxy_set_header X-Forwarded-For $proxy_add_x_forwarded_for;
proxy_redirect http://my.site.com/ https://my.site.com/;

}