$ ldd `which nginx`
    /usr/local/sbin/nginx:
        Start            End              Type Open Ref GrpRef Name
        0000000000400000 000000000089c000 exe  1    0   0      /usr/local/sbin/nginx
        0000000206c17000 0000000207042000 rlib 0    1   0      /usr/local/lib/libpcre.so.2.3
        00000002082fd000 000000020874b000 rlib 0    1   0      /usr/lib/libssl.so.15.1
        000000020874b000 0000000208cd7000 rlib 0    1   0      /usr/lib/libcrypto.so.18.0
        0000000204a0e000 0000000204e22000 rlib 0    1   0      /usr/lib/libz.so.4.1
        00000002017b8000 0000000201c99000 rlib 0    1   0      /usr/lib/libc.so.53.1
        0000000204600000 0000000204600000 rtld 0    1   0      /usr/libexec/ld.so

Doesn't look too bad. Start by copying the relevant libraries and config directory to the appropriate places within the chroot jail, then test. (Those paths are on OpenBSD 4.7-beta, probably different on your system.)