You could try this solution :
In your location block when you use proxy_pass do something like this:
location ... {
add_header yourHeaderName yourValue;
proxy_pass xxxx://xxx_my_proxy_addr_xxx;
# Now use this solution:
proxy_ignore_headers yourHeaderName // but set by proxy
# Or if above didn't work maybe this:
proxy_hide_header yourHeaderName // but set by proxy
}
I'm not sure would it be exactly what you need but try some manipulation of this method and maybe result will fit your problem.
Also you can use this combination:
proxy_hide_header headerSetByProxy;
set $sent_http_header_set_by_proxy yourValue;