Well, I think nginx by itself doesn't have that in its setup, because the Ubuntu-maintained package does it as a convention to imitate Debian's apache setup. You could create it yourself if you wanted to emulate the same setup.
Create /etc/nginx/sites-available and /etc/nginx/sites-enabled and then edit the http block inside /etc/nginx/nginx.conf and add this line
include /etc/nginx/sites-enabled/*;
Of course, all the files will be inside sites-available, and you'd create a symlink for them inside sites-enabled for those you want enabled.